Optimal portfolio choice and consistent performance

Xianzhe Chen () and Weidong Tian ()

Decisions in Economics and Finance, 2014, vol. 37, issue 2, 453-474

Abstract: Consistent financial performance is the key element to success in asset management. We use a dynamic wealth constraint to represent the consistent performance requirement, which takes into account the entire historical records as a benchmark so that the wealth always stays at or above the benchmark. The optimal policy under this wealth constraint is characterized, and several implications are presented in this paper. This consistent performance constraint could be an appealing tool to be implemented in a volatile market and have rich practical implications. Copyright Springer-Verlag Italia 2014

Keywords: Consistent performance; Portfolio choice; Asset management; G11; G12; G13; D52; D90 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10203-013-0154-x

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