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Merton’s problem for an investor with a benchmark in a Barndorff-Nielsen and Shephard market
To try to outperform an externally given benchmark with known weights is the most common equity mandate in the financial industry. For quantitative investors, this task is predominantly approached by optimizing their portfolios consecutively over short time horizons with one-period models. We seek i...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4352599/ https://www.ncbi.nlm.nih.gov/pubmed/25774334 http://dx.doi.org/10.1186/s40064-015-0842-9 |