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"Optimal Tracking Portfolio with a Ratcheting Capital Benchmark."

Lijun Bo, Huafu Liao, Xiang Yu (2021)

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DOI: 10.1137/20M1348856

access: closed

type: Journal Article

metadata version: 2021-10-14

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Lijun Bo, Huafu Liao, Xiang Yu:
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark. SIAM J. Control. Optim. 59(3): 2346-2380 (2021)

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