Risk Management with Benchmarking
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Publisher
Elsevier BV
Reference36 articles.
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2. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model;G Alexander;Management Science,2004
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1. Dynamic Tracking Error with Shortfall Control Using Stochastic Programming;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2014
2. Downside risk in multiperiod tracking error models;Central European Journal of Operations Research;2013-03-29
3. Benchmarking Benchmarks: Much Ado About Nothing;SSRN Electronic Journal;2013
4. Portfolio Management under Constraints on Ex-Ante and Ex-Post Tracking-Errors;SSRN Electronic Journal;2012
5. Dynamic Tracking Error with Shortfall Control Using Stochastic Programming;SSRN Electronic Journal;2012
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