Dynamic Tracking Error with Shortfall Control Using Stochastic Programming
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-319-02499-8_4
Reference27 articles.
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2. Barro, D., Canestrelli, E.: Tracking error: a multistage portfolio model. Annals of Operations Research, 165(1), 44–66 (2009)
3. Basak, S., Shapiro, A., and Tepla, L.: Risk management with benchmarking. Working Paper Series Asset Management SC-AM-03-16. Salomon Center for the study of financial institutions, NYU (2003)
4. BenTal, A., Nemirovski, A.: Robust optimization — methodology and applications. Mathematical programming, Ser. B 92, 453–480 (2002)
5. Bertsimas, D., Lauprete, G.J., Samarov, A.: Shortfall as a risk measure: properties, optimization and applications. Journal of Economic Dynamics and control 28, 1353–1381 (2004)
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