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.
|Data di pubblicazione:||2013|
|Titolo:||Dynamic tracking error with shortfall control using stochastic programming|
|Titolo del libro:||Mathematical and Statistical Methods for Actuarial Sciences and Finance|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1007/978-3-319-02499-8_4|
|Appare nelle tipologie:||3.1 Articolo su libro|