Managing Against a Benchmark

Mark H. A. Davis and Sebastien Lleo

Chapter 3 in Risk-Sensitive Investment Management, 2014, pp 41-56 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The Oxford English Dictionary defines a benchmark, or more precisely a ‘bench-mark’, as ‘a surveyor's mark cut in some durable material, as a rock, wall, gate-pillar, face of a building, etc., to indicate the starting, closing, or any suitable intermediate point in a line of levels for the determination of altitudes over the face of a country. It consists of a series of wedge-shaped incisures, in the form of the broad-arrow with a horizontal bar through its apex'. An example of a bench-mark is displayed in Figure 3.1…

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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