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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Research Papers

Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

Isabelle Bajeux-Besnainou Finance Department, The George Washington University, 2201 G St., NW, Washington, DC, 20052, USACorrespondence[email protected]
,
Roland Portait CNAM and ESSEC; CNAM, chaire de Finances, 40 rue des jeuneurs, Paris, 75002, France
&
Guillaume Tergny CNAM and Swiss Life Asset Management, France
Pages 1599-1612 | Received 02 Nov 2009, Accepted 28 Apr 2011, Published online: 16 Aug 2011

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Chendi Ni, Yuying Li, Peter Forsyth & Ray Carroll. (2022) Optimal asset allocation for outperforming a stochastic benchmark target. Quantitative Finance 22:9, pages 1595-1626.
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Pieter M. Van Staden, Peter A. Forsyth & Yuying Li. (2023) Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM Journal on Financial Mathematics 14:2, pages 407-451.
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