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Optimal portfolio choice with benchmarks

Published:2018-06-14 Issue:10 Volume:70 Page:1600-1621
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Bernard Carole¹²^ORCID,De Staelen Rob H.³^ORCID,Vanduffel Steven²

Affiliation:

1. Department of Accounting, Law and Finance, Grenoble Ecole de Management, Grenoble, France.

2. Department of Economics and Political Science, Vrije Universiteit Brussel, Brussel, Belgium.

3. Department of Mathematical Analysis, Ghent University, Gent, Belgium.

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Link

https://www.tandfonline.com/doi/pdf/10.1080/01605682.2018.1470066

Reference59 articles.

2. Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine

3. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

4. Risk Management with Benchmarking

5. Optimal Portfolio Choice under Loss Aversion

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal multivariate financial decision making;European Journal of Operational Research;2023-05

2. A lattice approach to the Beta distribution induced by stochastic dominance: Theory and applications;Journal of the Operational Research Society;2022-07-28

3. Impact of systemic risk regulation on optimal policies and asset prices;Journal of Banking & Finance;2022-07

4. Impact of Systemic Risk Regulation on Optimal Policies and Asset Prices;SSRN Electronic Journal;2022

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