29 citations · 30 across the 5 of their papers we have counts for
Showing q-fin.PMShow all
3 papers · 1 filter
q-fin.PM2020
A Variational Analysis Approach to Solving the Merton Problem
Ali Al-Aradi, Sebastian Jaimungal
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market mod…
q-fin.PM2019
Active and Passive Portfolio Management with Latent Factors
Ali Al-Aradi, Sebastian Jaimungal
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimart…
q-fin.PM2018
Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
Ali Al-Aradi, Sebastian Jaimungal
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we f…