Tracking a financial benchmark using a few assets

We study the problem of tracking a financial benchmark - a continuously compounded growth rate or a stock market index - by dynamically managing a portfolio consisting of a small number of traded stocks in the market. In either case, we formulate the tracking problem as an instance of the stochastic...

Ausführliche Beschreibung

Bibliographische Detailangaben
Hauptverfasser: Yao, D, Zhang, S, Zhou, X
Format: Journal article
Sprache:English
Veröffentlicht: 2006