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Risk Management with Benchmarking. (2005). Basak, Suleyman ; Shapiro, Alex ; Tepla, Lucie.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:5187.

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Cited: 12

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Cites: 32

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Cocites: 50

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  1. Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints. (2013). Tergny, Guillaume ; Portait, Roland ; Bajeux-Besnainou, Isabelle .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:10:p:1599-1612.

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  2. Large deviations theorems for optimal investment problems with large portfolios. (2011). Knight, John ; Chu, Ba ; Satchell, Stephen.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:211:y:2011:i:3:p:533-555.

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  3. Tracking error with minimum guarantee constraints. (2008). Canestrelli, Elio ; Barro, Diana.
    In: Working Papers.
    RePEc:vnm:wpaper:172.

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  4. YOU MIGHT AS WELL BE HUNG FOR A SHEEP AS A LAMB: THE LOSS FUNCTION OF AN AGENT. (2008). Goodhart, Charles ; Bray, Margaret .
    In: Manchester School.
    RePEc:bla:manchs:v:76:y:2008:i:3:p:279-300.

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  5. Long Term Risk Assessment in a Defined Contribution Pension System. (2007). Castaneda, Pablo.
    In: MPRA Paper.
    RePEc:pra:mprapa:3347.

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  6. Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios. (2007). Leoni, Patrick.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1760607.

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  7. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12144.

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  8. Optimal Asset Allocation and Risk Shifting in Money Management. (2006). Pavlova, Anna ; Basak, Suleyman ; Shapiro, Alex.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5524.

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  9. Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management. (2005). Pavlova, Anna ; Basak, Suleyman ; Shapiro, Alex.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5006.

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  10. Keeping up with the Joneses: An international asset pricing model. (2003). Zapatero, Fernando ; Priestly, Richard ; Gomez, Juan-Pedro .
    In: Economics Working Papers.
    RePEc:upf:upfgen:694.

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  11. Asset pricing implications of benchmarking: a two-factor CAPM. (2003). Zapatero, Fernando ; Gomez, Juan-Pedro .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:9:y:2003:i:4:p:343-357.

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  12. Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management. (2003). Pavlova, Anna ; Basak, Suleyman ; Shapiro, Alex.
    In: Working papers.
    RePEc:mit:sloanp:3514.

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References

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