Risk-Constrained Dynamic Active Portfolio Management
研究动态主动投资组合管理问题，目标是在实现业绩目标与避免相对于基准的亏损风险之间权衡，提出一种基于达到目标概率和时间的风险/收益分析方法，并给出状态依赖的最优策略。
Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, we consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance goals and the risk of a shortfall. Specifically, we consider an objective that relates the probability of achieving a given performance objective to the time it takes to achieve the objective. This allows a new direct quantitative analysis of the risk/return tradeoff, with risk defined directly in terms of probability of shortfall relative to the benchmark, and return defined in terms of the expected time to reach investment goals relative to the benchmark. The resulting optimal policy is a state-dependent policy that provides new insights. As a special case, our analysis includes the case where the investor wants to minimize the expected time until a given performance goal is reached subject to a constraint on the shortfall probability.