Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management


Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation... [ view full abstract ]


  1. Ali Al-Aradi (University of Toronto)
  2. Sebastian Jaimungal (University of Toronto)

Topic Areas

Asset Allocation , Optimal Control , Optimal Investment


TU-P-B1 » Optimal Control and Optimal Investment 1 (14:30 - Tuesday, 17th July, Beckett 1 )

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