Active and passive portfolio management with latent factors
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DOI: 10.1080/14697688.2021.1881598
Abstract: We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimartingale market model where the assets' growth rate processes are driven by… read more here.
Keywords: latent factors; portfolio; passive portfolio; portfolio management ... See more keywords