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| Author: | Browne, S. |
| Title: | Risk-constrained dynamic active portfolio management |
| Journal: | Management Science
2000 : SEP, VOL. 46:9, p. 1188-1199 |
| Index terms: | PORTFOLIO MANAGEMENT RISK MEASUREMENT DYNAMIC MODELS |
| Language: | eng |
| Abstract: | Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, the authors consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance goals and the risk of a shortfall. Specifically, the authors consider an objective that related the probability of achieving a given performance objective to the time it takes to achieve the objective. |
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