Active or passive portfolio: A tracking error analysis under uncertainty theory
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DOI: 10.1016/j.iref.2022.02.043
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References listed on IDEAS
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Cited by:
- Huang, Xiaoxia & Ma, Di & Choe, Kwang-Il, 2023. "Uncertain mean–variance portfolio model with inflation taking linear uncertainty distributions," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 203-217.
- Kaiwen Hou, 2023. "Adaptive Bayesian Learning with Action and State-Dependent Signal Variance," Papers 2311.12878, arXiv.org, revised Nov 2023.
- Weiwei Guo & Wei-Guo Zhang & Zaiwu Gong, 2024. "Modeling of linear uncertain portfolio selection with uncertain constraint and risk index," Fuzzy Optimization and Decision Making, Springer, vol. 23(3), pages 469-496, September.
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More about this item
Keywords
Portfolio selection; Tracking error; Uncertainty theory; Risk attitude;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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