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Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark |
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| Authors: | Sid Browne |
| Institution: | (1) 402 Uris Hall, Graduate School of Business, Columbia University, New York, NY 10027, USA (e-mail: sb30@columbia.edu.) , US |
| Abstract: | |
| Keywords: | : Portfolio theory benchmarking active portfolio management constant proportions growth optimal policy stochastic control diffusions |
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