Mean-Variance Portfolio Selection with Tracking Error Penalization

Mean-Variance Portfolio Selection with Tracking Error Penalization

This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation controls and a reference portfolio with same wealth and fixed wei...

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Bibliographic Details
Main Authors: William Lefebvre, Grégoire Loeper, Huyên Pham
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Mathematics
Subjects:
continuous-time mean-variance problem
tracking error
robustified allocation
parameter misspecification
Online Access:https://www.mdpi.com/2227-7390/8/11/1915

Internet

https://www.mdpi.com/2227-7390/8/11/1915

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