Portfolio management with benchmark related incentives under mean reverting processes

Marco Nicolosi, Flavio Angelini, Stefano Herzel. Portfolio management with benchmark related incentives under mean reverting processes. Annals OR, 266(1-2):373-394, 2018. [doi]

Authors

Marco Nicolosi

This author has not been identified. Look up 'Marco Nicolosi' in Google

Flavio Angelini

This author has not been identified. Look up 'Flavio Angelini' in Google

Stefano Herzel

This author has not been identified. Look up 'Stefano Herzel' in Google