Optimal portfolio strategies benchmarking the stock market

Mathematical Methods of Operations Research

Volumn 64, Issue 2, 2006, Pages 211-225

  Gabih, A ^a   Grecksch, W ^b   Richter, M ^c   Wunderlich, R ^d  

^a UNIVERSITY OF LEIPZIG   (Germany)

^b MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

^c CHEMNITZ UNIVERSITY OF TECHNOLOGY   (Germany)

^d UNIVERSITY OF APPLIED SCIENCES ZWICKAU   (Germany)

Author keywords

Martingale method; Optimal strategy; Portfolio optimization; Shortfall risk constraints; Stochastic optimal control

Indexed keywords

BENCHMARKING; OPERATIONS RESEARCH; OPTIMIZATION; RISK MANAGEMENT; STOCHASTIC CONTROL SYSTEMS;

MARTINGALE METHOD; OPTIMAL STRATEGY; PORTFOLIO OPTIMIZATION; SHORTFALL RISK CONSTRAINTS;

FINANCIAL DATA PROCESSING;

EID: 33749029923     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-006-0091-3     Document Type: Article

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