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
Link To Document