Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

Diana Barro () and Elio Canestrelli
Additional contact information
Diana Barro: University Ca’ Foscari Venice, Department of Economics and SSAV

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 41-53 from Springer

Abstract: Abstract In this contribution we tackle the issue of portfolio management combining benchmarking and risk control. We propose a dynamic tracking error problem and we consider the problem of monitoring at discrete points the shortfalls of the portfolio below a set of given reference levels of wealth. We formulate and solve the resulting dynamic optimization problem using stochastic programming. The proposed model allows for a great flexibility in the combination of the tracking goal and the downside risk protection. We provide the results of out-of-sample simulation experiments, on real data, for different portfolio configurations and different market conditions.

Keywords: Tracking Error; Portfolio Selection; Risky Asset; Portfolio Management; Mean Absolute Deviation (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Dynamic tracking error with shortfall control using stochastic programming (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02499-8_4

Ordering information: This item can be ordered from
http://www.springer.com/9783319024998

DOI: 10.1007/978-3-319-02499-8_4

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().