Rob De Staelen

Ghent University

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Belgium

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Optimal Portfolio Choice with Benchmarks

Number of pages: 35 Posted: 21 Jun 2017 Last Revised: 02 Nov 2017
Carole Bernard, Rob De Staelen and Steven Vanduffel
Grenoble Ecole de Management, Ghent University and Vrije Universiteit Brussel (VUB)
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Abstract:

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optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization