A discrete-time benchmark tracking problem in two markets subject to random environments

In this manuscript, we study a benchmark tracking problem when prices evolve through a Binomial model with a random environment. The agent invests a given fund’s capital into different assets in a predetermined market to replicate at each stage of time a financial index or benchmark. To measure the...

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Bibliographic Details
Published in:	OR Spectrum Vol. 46; no. 4; pp. 1265 - 1294
Main Authors:	Jasso-Fuentes, Héctor, Salgado-Suárez, Gladys D.
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.12.2024 Springer Nature B.V
Subjects:	Bankruptcy Benchmarks Business and Management Calculus of Variations and Optimal Control; Optimization Derivatives Deviation Dynamic programming Error analysis Index funds Investment strategy Investments Investors Mathematics Operations Research/Decision Theory Original Article Quadratic equations Time measurement Tracking problem Valuation Random environment 90C40 Random walks 91G15 82B41 Benchmark tracking problems 60K37 Decision processes 93C30
ISSN:	0171-6468, 1436-6304
Online Access:	Get full text
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