• DocumentCode
    1814629
  • Title

    Continuous time active portfolio management with a risk constraint

  • Author

    Browne, Sid

  • Author_Institution
    Goldman, Sachs & Co., New York, NY, USA
  • Volume
    3
  • fYear
    1999
  • fDate
    1999
  • Firstpage
    2799
  • Abstract
    Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. We consider an objective that relates the probability of achieving a given performance objective to the time it takes to achieve the objective. As a special case, our analysis includes the case where the investor wants to minimize the expected time until a given performance goal is reached subject to a constraint on the shortfall probability
  • Keywords
    economic cybernetics; investment; probability; risk management; stock markets; benchmark portfolio; continuous time active portfolio management; investment; probability; risk constraint; stock market; Continuous time systems; Costs; Infinite horizon; Investments; Optimal control; Performance analysis; Portfolios; Risk management; Stochastic processes; USA Councils;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
  • Conference_Location
    Phoenix, AZ
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-5250-5
  • Type

    conf

  • DOI
    10.1109/CDC.1999.831357
  • Filename
    831357