Title :
Continuous time active portfolio management with a risk constraint
Author_Institution :
Goldman, Sachs & Co., New York, NY, USA
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;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.831357