We propose a novel objective function for constructing dynamic investment strategies with
the goal of outperforming an investment benchmark at multiple points of evaluation during …

Abstract 1 We determine a simple dynamic benchmark for asset allocation by solving an
optimal stochas-2 tic control problem for outperforming the traditional constant proportion …

Improvements in technology and increasing emphasis on performance have led many
investors to monitor the performance of fund managers on a high frequency basis: quarterly …

The financial crisis and the rash of mortgage defaults put the servicing of securitized
residential mortgage loans under severe stress and raised some important issues related to …