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• W2951437293 abstract "We consider the portfolio selection problem of maximizing a performance measure in a continuous-time diffusion model. The performance measure is the ratio of the overperformance to the underperformance of a portfolio relative to a benchmark. Following a strategy from fractional programming, we analyze the problem by solving a family of related problems, where the objective functions are the numerator of the original problem minus the denominator multiplied by a penalty parameter. These auxiliary problems can be solved using the martingale method for stochastic control. The existence of solution is discussed in a general setting and explicit solutions are derived when both the reward and the penalty functions are power functions." @default.
• W2951437293 created "2019-06-27" @default.
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• W2951437293 date "2019-08-01" @default.
• W2951437293 modified "2023-09-24" @default.
• W2951437293 title "PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS" @default.
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• W2951437293 doi "https://doi.org/10.1142/s0219024919500225" @default.
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