Risk-constrained dynamic active portfolio management

Management Science

Volumn 46, Issue 9, 2000, Pages 1188-1199

  Browne, Sid ^a,b  

^a Goldman Sachs Group   (United States)

^b Howard Hughes Medical Institute   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BENCHMARKING; MATHEMATICAL MODELS; OPTIMIZATION; PROBABILITY; RESOURCE ALLOCATION; RISK MANAGEMENT; STOCHASTIC CONTROL SYSTEMS;

ACTIVE PORTFOLIO MANAGEMENT; PORTFOLIO THEORY;

MANAGEMENT SCIENCE;

EID: 0033680605     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.9.1188.12233     Document Type: Article

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