438
Views
2
CrossRef citations to date
0
Altmetric
Research Papers

Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

, &
Pages 1599-1612 | Received 02 Nov 2009, Accepted 28 Apr 2011, Published online: 16 Aug 2011

References

  • Bajeux-Besnainou , I , Jordan , JV and Portait , R . 2001 . An asset allocation puzzle: comment . Am. Econ. Rev. , 91 : 1170 – 1179 .
  • Bajeux-Besnainou , I , Jordan , JV and Portait , R . 2003 . Dynamic asset allocation for stocks, bonds and cash . J. Bus. , 76 ( 2 ) : 263 – 287 .
  • Bajeux-Besnainou , I and Portait , R . 1998 . Dynamic asset allocation in a mean–variance framework . Mgmt Sci. , 44 ( 11 ) : 79 – 95 .
  • I. Bajeux-Besnainou, Belhaj, R., Maillard, D. and Portait, R., Portfolio optimization under tracking error and weights constraints. J. Financ. Res., 2011, 34, 523–541
  • Basak , S and Chabakauri , G . Dynamic mean–variance asset allocation. Working Paper, 2009a
  • Basak , S and Chabakauri , G . Dynamic hedging in incomplete markets: a simple solution. Working Paper, London Business School, 2009b
  • Basak , S . Pavlova, A. and Shapiro, A., Offsetting the incentives: risk shifting and benfits of benchmarking in money management. Working Paper, 2007
  • Basak , S . Shapiro, A. and Tepla, L., Risk management with benchmarking. Working Paper, 2005
  • Bodie , Z , Merton , RC and Samuelson , WF . 1992 . Labor supply flexibility and portfolio choice in a life cycle model . J. Econ. Dynam. Control , 16 : 427 – 449 .
  • Cadenillas , A . 2007 . Cvitanic, J. and Zapatero, F., Optimal risk sharing with efforts and project choice . J. Econ. Theory , 133 : 403 – 440 .
  • Canner , N , Mankiw , NG and Weil , DN . 1997 . An asset allocation puzzle . Am. Econ. Rev. , 87 ( 1 ) : 181 – 191 .
  • Carpenter , J . 2000 . Does option compensation increase managerial risk appetite? J . Financ. , LV ( 5 ) : 2311 – 2331 .
  • Chow , G . 1995 . Portfolio selection based on return, risk, and relative performance . Financ. Anal. J. , 51 ( 2 ) : 54 – 60 .
  • Clarke , R , Krase , S and Statman , M . 1994 . Tracking errors, regret, and tactical asset allocation . J. Portfol. Mgmt , Spring : 16 – 24 .
  • Cox , J and Huang , CF . 1989 . Optimal consumption and portfolio policies when asset prices follow a diffusion process . J. Econ. Theory , 49 : 33 – 83 .
  • Deelstra , G , Grasselli , M and Koehl , PF . 2000 . Optimal investment strategies in a CIR framework . J. Appl. Probab. , 37 : 936 – 946 .
  • Del Guercio , D and Tkac , P . 2002 . The determinants of the flow of funds of managed portfolios: mutual funds vs . pension funds. J. Financ. Quant. Anal. , 37 ( 4 ) : 523 – 557 .
  • El Karoui , N , Jeanblanc , M and Lacoste , V . 2005 . Optimal portfolio management with American capital guarantee . J. Econ. Dynam. Control , 29 : 449 – 468 .
  • Goetzmann , W , Ingersoll , J , Spiegel , M and Welch , I . 2007 . Portfolio performance. Manipulation and manipulation-proof performance measures . Rev. Financ. Stud. , 20 : 1503 – 1546 .
  • Golec , J . 1992 . Empirical tests of a principal-agent model of the investor–investment advisor relationship . J. Financ. Quant. Anal. , 27 : 81 – 95 .
  • Holmström , B and Milgrom , P . 1987 . Aggregation and linearity in the provision of intertemporal incentives . Econometrica , 55 : 303 – 328 .
  • Jorion , P . 2003 . Portfolio optimization with tracking error constraints . Financ. Anal. J. , 59 ( 5 ) : 70 – 82 .
  • Kapur , S and Timmermann , A . 2005 . Relative performance evaluation contracts and asset market equilibrium . Econ. J. , 115 : 1077 – 1202 .
  • Karatzas , I , Lehoczky , J and Schreve , S . 1987 . Optimal portfolio and consumption decisions for a ‘small investor’ on a finite horizon . SIAM J. Control Optimiz. , 25 : 1157 – 1186 .
  • Lee , W . 2000 . Advanced Theory and Methodology of Tactical Asset Allocation , 1st , New York : Wiley .
  • Li , D and Ng , WL . 2000 . Optimal dynamic portfolio selection: Multiperiod mean–variance formulation . Math. Finance , 10 : 387 – 406 .
  • Lim , AEB and Zhou , XY . 2002 . Quadratic hedging mean–variance portfolio selection with random parameters in a complete market . Math. Oper. Res. , 27 : 101 – 120 .
  • Lioui , A and Poncet , P . Optimal benchmarking for asset portfolio managers. Working Paper, Bar Ilan University, 2007
  • Long , JB . 1990 . The numeraire portfolio . J. Financ. Econ. , 26 : 29 – 69 .
  • Margrabe , W . 1978 . The value of an option to exchange one asset for another . J. Financ. , 33 : 177 – 186 .
  • Merton , R . 1971 . Optimum consumption and portfolio rules in a continuous time model . J. Econ. Theory , 3 : 373 – 413 .
  • Merton , R . 1973 . An intertemporal capital asset pricing model . Econometrica , 41 : 867 – 888 .
  • Merton , R . 1992 . Continuous Time Finance , Oxford : Basil Blackwell .
  • Nguyen , P and Portait , R . 2002 . Dynamic mean variance efficiency and asset allocation with a solvency constraint . J. Econ. Dynam. Control , January : 11 – 32 .
  • Omberg , E . Non-myopic asset-allocation with stochastic interest rates. Working Paper, 2000
  • Ou-Yang , H . 2003 . Optimal contract in continuous-time delegated portfolio management problem . Rev. Financ. Stud. , 16 : 173 – 208 .
  • Roll , R . 1992 . A mean–variance analysis of tracking error . J. Portfol. Mgmt , Summer : 13 – 22 .
  • Rudolf , M , Wolter , H and Zimmermann , H . 1999 . A linear model for tracking error minimization . J. Bank. Financ. , 23 : 85 – 103 .
  • Schätler , H and Sung , J . 1993 . The first order approach to the continuous time principal-agent problem with exponential utility . J. Econ. Theory , 61 : 331
  • Shimko , D . 1994 . Options on futures spread: hedging, speculation, and valuation . J. Fut. Mkts , 14 ( 2 ) : 183 – 213 .
  • Sung , J . 1995 . Linearity with project selection and controllable diffusion in continuous-time principal-agent problems . Rand J. Econ. , 26 : 720 – 743 .
  • Tepla , L . 2001 . Optimal investment with minimum performance constraints . J. Econ. Dynam. Control , 25 : 1629 – 1645 .
  • Wagner , N . 2001 . On a model of portfolio selection with benchmark . J. Asset Mgmt. , 3 ( 1 ) : 55 – 65 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.