Lijun Bo, Huafu Liao, Xiang Yu. Optimal Tracking Portfolio with a Ratcheting Capital Benchmark. SIAM J. Control and Optimization, 59(3):2346-2380, 2021. [doi]
@article{BoLY21,
title = {Optimal Tracking Portfolio with a Ratcheting Capital Benchmark},
author = {Lijun Bo and Huafu Liao and Xiang Yu},
year = {2021},
doi = {10.1137/20M1348856},
url = {https://doi.org/10.1137/20M1348856},
researchr = {https://researchr.org/publication/BoLY21},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {59},
number = {3},
pages = {2346-2380},
}