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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2006
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