Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
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DOI: 10.1080/1350486X.2018.1507751
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Cited by:
- Ali Al-Aradi & Sebastian Jaimungal, 2020. "A Variational Analysis Approach to Solving the Merton Problem," Papers 2003.08450, arXiv.org.
- Sebastian Jaimungal & Xiaofei Shi, 2024. "The Price of Information," Papers 2402.11864, arXiv.org, revised Mar 2024.
- Steven Campbell & Ting-Kam Leonard Wong, 2021. "Functional portfolio optimization in stochastic portfolio theory," Papers 2103.10925, arXiv.org, revised Oct 2021.
- Chendi Ni & Yuying Li & Peter Forsyth & Ray Carroll, 2020. "Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target," Papers 2006.15384, arXiv.org.
- Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
- Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
- van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.
- T. N. Li & A. Papanicolaou, 2019. "Statistical Arbitrage for Multiple Co-Integrated Stocks," Papers 1908.02164, arXiv.org, revised Feb 2022.
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