Optimal investment based on performance measure with a stochastic benchmark
We consider the portfolio selection problem of maximizing a performance measure of the terminal wealth faced by a manager with a stochastic benchmark. We transform the non-linear fractional optimization problem into a non-fractional optimization problem based on the fractional programming method. Wh...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2025-02-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2025129 |
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