Tracking a financial benchmark using a few assets

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...

Полное описание

Библиографические подробности
Главные авторы:	Yao, D, Zhang, S, Zhou, X
Формат:	Journal article
Язык:	English
Опубликовано:	2006

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