OPTIMAL TRACKING PORTFOLIO WITH A RATCHETING CAPITAL BENCHMARK

Bo, LJ; Liao, HF; Yu, X

Bo, LJ (corresponding author), Xidian Univ, Sch Math & Stat, Xian 710071, Peoples R China.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021; 59 (3): 2346

Abstract

This paper studies finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manag......

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