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...
Hauptverfasser: | , , |
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Format: | Journal article |
Sprache: | English |
Veröffentlicht: |
2006
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