Active and passive portfolio management with latent factors
Author:
Affiliation:
1. Department of Statistical Sciences, University of Toronto, 100 St. George Street, Toronto, ON M5S 1A1, Canada
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1881598
Reference64 articles.
1. Finite-dimensional quasi-linear risk-sensitive control
2. Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
3. Portfolio Choice with Illiquid Assets
4. Hedging with temporary price impact
5. PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
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