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Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

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Title of Paper:Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

Journal:SIAM Journal on Control and Optimization

Discipline:Natural Science

First-Level Discipline:Mathematics

Document Type:J

Volume:59

Issue:3

Page Number:2346-2380

Translation or Not:no

Date of Publication:2021-09-13

Included Journals:SCI

Next One:Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

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