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...

书目详细资料
Main Authors:	Yao, D, Zhang, S, Zhou, X
格式:	Journal article
语言:	English
出版:	2006

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