Tracking models and the optimal regret distribution in asset allocation

• 1 September 1992
• journal article
• research article
• Published by Wiley in Applied Stochastic Models and Data Analysis
• Vol. 8  (3) , 151-157
• https://doi.org/10.1002/asm.3150080305

Abstract

Keywords

• ASSET ALLOCATION
• PORTFOLIO OPTIMIZATION
• STOCHASTIC PROGRAMMING