Optimal Tracking Portfolio with A Ratcheting Capital Benchmark

This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject capital into the portfolio account such that the total capital dominates a non-decreasing benchmark floor process at eac...

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Hauptverfasser:	Bo, Lijun, Liao, Huafu, Yu, Xiang
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Optimization and Control Mathematics - Probability Quantitative Finance - Portfolio Management
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