Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
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DOI: 10.1080/14697688.2011.589401
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References listed on IDEAS
- Suleyman Basak & Alex Shapiro & Lucie Teplá, 2006.
"Risk Management with Benchmarking,"
Management Science, INFORMS, vol. 52(4), pages 542-557, April.
- Teplá, Lucie & Basak, Suleyman & Shapiro, Alex, 2005. "Risk Management with Benchmarking," CEPR Discussion Papers 5187, C.E.P.R. Discussion Papers.
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- Pieter van Staden & Peter Forsyth & Yuying Li, 2024. "Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark," Papers 2412.05431, arXiv.org, revised Mar 2025.
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