Jackknife Estimator for Tracking Error Variance of Optimal Portfolios.

Gopal K. Basak Ravi Jagannathan Tongshu Ma

Published in: Manag. Sci. (2009)

Keyphrases

tracking error
optimal control
nonlinear systems
lyapunov function
dynamic programming
least squares
sufficient conditions
closed loop
control scheme
control law
control system
fuzzy logic
variance reduction