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Risk-Constrained Dynamic Active Portfolio Management

Citations

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Cited by:

  1. Ravi Kashyap, 2021. "Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4885-4921, September.
  2. Lijun Bo & Huafu Liao & Xiang Yu, 2020. "Optimal Tracking Portfolio with A Ratcheting Capital Benchmark," Papers 2006.13661, arXiv.org, revised Apr 2021.
  3. Xu, Yuhong, 2022. "Optimal growth under model uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  4. Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.
  5. Song-Kyoo (Amang) Kim, 2024. "Kelly Criterion Extension: Advanced Gambling Strategy," Mathematics, MDPI, vol. 12(11), pages 1-9, June.
  6. Mourad Mroua & Fathi Abid, 2014. "Portfolio revision and optimal diversification strategy choices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 10(4), pages 537-564, August.
  7. Yiannis Kamarianakis & Anastasios Xepapadeas, 2006. "Controlling the risky fraction process with an ergodic criterion," Working Papers 0710, University of Crete, Department of Economics.
  8. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 268-294, May.
  9. Zhao, Yonggan, 2007. "A dynamic model of active portfolio management with benchmark orientation," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3336-3356, November.
  10. Charles-Albert Lehalle & Guillaume Simon, 2021. "Portfolio selection with active strategies: how long only constraints shape convictions," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 443-463, October.
  11. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022. "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
  12. Silvana Pesenti & Sebastian Jaimungal, 2020. "Portfolio Optimisation within a Wasserstein Ball," Papers 2012.04500, arXiv.org, revised Jun 2022.
  13. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Papers 1803.05819, arXiv.org, revised Jul 2018.
  14. Chendi Ni & Yuying Li & Peter Forsyth & Ray Carroll, 2020. "Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target," Papers 2006.15384, arXiv.org.
  15. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "Stochastic control problems with state-reflections arising from relaxed benchmark tracking," Papers 2302.08302, arXiv.org, revised Apr 2024.
  16. Zhao, Li & Huang, Wenli & Yang, Chen & Li, Shenghong, 2018. "Hedge fund leverage with stochastic market conditions," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 258-273.
  17. Sagara Dewasurendra & Pedro Judice & Qiji Zhu, 2019. "The Optimum Leverage Level of the Banking Sector," Risks, MDPI, vol. 7(2), pages 1-30, May.
  18. JULES H. Van BINSBERGEN & MICHAEL W. BRANDT & RALPH S. J. KOIJEN, 2008. "Optimal Decentralized Investment Management," Journal of Finance, American Finance Association, vol. 63(4), pages 1849-1895, August.
  19. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "An extended Merton problem with relaxed benchmark tracking," Papers 2304.10802, arXiv.org, revised Jul 2024.
  20. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
  21. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "On optimal tracking portfolio in incomplete markets: The reinforcement learning approach," Papers 2311.14318, arXiv.org, revised Oct 2024.
  22. Lee, Dongyeol & Kim, Woo Chang, 2021. "Cost of shareholder engagement by institutional investors under short-swing profit rule," Finance Research Letters, Elsevier, vol. 40(C).
  23. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, March.
  24. Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S., 2023. "Optimal multivariate financial decision making," European Journal of Operational Research, Elsevier, vol. 307(1), pages 468-483.
  25. Sanjiv R. Das & Daniel Ostrov & Anand Radhakrishnan & Deep Srivastav, 2020. "Dynamic portfolio allocation in goals-based wealth management," Computational Management Science, Springer, vol. 17(4), pages 613-640, December.
  26. Minjie Yu & Qiang Zhang & Dennis Yang, 2008. "Bankruptcy in long-term investments," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 777-794.
  27. Enzo Busseti & Ernest K. Ryu & Stephen Boyd, 2016. "Risk-Constrained Kelly Gambling," Papers 1603.06183, arXiv.org.
  28. Singer, Nico, 2010. "Safety-first portfolio optimization: Fixed versus random target," Thuenen-Series of Applied Economic Theory 113, University of Rostock, Institute of Economics.
  29. Zhao, Li & Huang, Wenli & Ba, Shusong, 2018. "Optimal effort under high-water mark contracts," Economic Modelling, Elsevier, vol. 68(C), pages 599-610.
  30. Sona Kilianova & Daniel Sevcovic, 2019. "Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi Bellman equation," Papers 1903.10065, arXiv.org.
  31. Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
  32. Bi, Xiuchun & Cui, Zhenyu & Fan, Jiacheng & Yuan, Lvning & Zhang, Shuguang, 2023. "Optimal investment problem under behavioral setting: A Lagrange duality perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
  33. 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.
  34. Ravi Kashyap, 2021. "Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets," Papers 2109.03740, arXiv.org.
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