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Optimisation de portefeuille sous contrainte de variance de la tracking-error

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https://hal-amu.archives-ouvertes.fr/hal-01833150
Contributor : Imane Mohat <>
Submitted on : Monday, July 9, 2018 - 1:55:15 PM
Last modification on : Thursday, March 5, 2020 - 4:26:32 PM

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  • HAL Id : hal-01833150, version 1

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Philippe Bertrand, Jean-Luc Prigent, Raphael Sobotka. Optimisation de portefeuille sous contrainte de variance de la tracking-error. Banques et marchés, 2000. ⟨hal-01833150⟩

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