Optimal asset allocation for outperforming a stochastic benchmark target
Chendi Ni, Yuying Li, Peter Forsyth and Ray Carroll
| Year of publication: |
2022
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|---|---|
| Authors: | Ni, Chendi ; Li, Yuying ; Forsyth, Peter ; Carroll, Ray |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 9, p. 1595-1626
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| Subject: | Data driven | Dynamic asset allocation | Neural network | Portfolio-Management | Portfolio selection | Theorie | Theory | Neuronale Netze | Neural networks | Benchmarking | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Kapitalanlage | Financial investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2072233 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367937