Downside risk in multiperiod tracking error models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research
Link
http://link.springer.com/content/pdf/10.1007/s10100-013-0290-y.pdf
Reference36 articles.
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3. Barro D, Canestrelli E (2009) Tracking error: a multistage portfolio model. Ann Oper Res 165(1):44–66
4. Basak S (1995) A general equilibrium of portfolio insurance. Rev Financ Stud 8:1059–1090
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