A discrete-time benchmark tracking problem in two markets subject to random environments
Author:
Funder
Consejo Nacional de Ciencia y Tecnología
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s00291-024-00767-x.pdf
Reference29 articles.
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2. Bäuerle N, Rieder U (2011) Markov decision processes with applications to finance. Springer Science & Business Media, Berlin
3. Bo L, Liao H, Yu X (2021) Optimal tracking portfolio with a ratcheting capital benchmark. SIAM J Control Optim 593:2346–2380. https://doi.org/10.1137/20M1348856
4. Browne S (1999a) Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Finance Stoch 33:275–294. https://doi.org/10.1007/s007800050063
5. Browne S (1999b) Reaching goals by a deadline: digital options and continuous-time active portfolio management. Adv Appl Probab 312:551–577. https://doi.org/10.1239/aap/1029955147
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