{"id":"https://openalex.org/W3125837188","doi":"https://doi.org/10.1137/20m1348856","title":"Optimal Tracking Portfolio with a Ratcheting Capital Benchmark","display_name":"Optimal Tracking Portfolio with a Ratcheting Capital Benchmark","publication_year":2021,"publication_date":"2021-01-01","ids":{"openalex":"https://openalex.org/W3125837188","doi":"https://doi.org/10.1137/20m1348856","mag":"3125837188"},"language":"en","primary_location":{"id":"doi:10.1137/20m1348856","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1348856","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056831910","display_name":"Lijun Bo","orcid":"https://orcid.org/0000-0003-4914-6150"},"institutions":[{"id":"https://openalex.org/I149594827","display_name":"Xidian University","ror":"https://ror.org/05s92vm98","country_code":"CN","type":"education","lineage":["https://openalex.org/I149594827"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Lijun Bo","raw_affiliation_strings":["Xidian University,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Xidian University,","institution_ids":["https://openalex.org/I149594827"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5015727863","display_name":"Huafu Liao","orcid":null},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Huafu Liao","raw_affiliation_strings":["National University of Singapore,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"National University of Singapore,","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039144550","display_name":"Xiang Yu","orcid":"https://orcid.org/0000-0003-4053-7876"},"institutions":[{"id":"https://openalex.org/I14243506","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98","country_code":"HK","type":"education","lineage":["https://openalex.org/I14243506"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Xiang Yu","raw_affiliation_strings":["The Hong Kong Polytechnic University"],"raw_orcid":"https://orcid.org/0000-0003-4053-7876","affiliations":[{"raw_affiliation_string":"The Hong Kong Polytechnic University","institution_ids":["https://openalex.org/I14243506"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5056831910"],"corresponding_institution_ids":["https://openalex.org/I149594827"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.04088931,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"59","issue":"3","first_page":"2346","last_page":"2380"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9617000222206116,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.95660001039505,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.7686041593551636},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5912482738494873},{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.5896528959274292},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5473246574401855},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.49726369976997375},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.4780431389808655},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4112374186515808},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3669359087944031},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.36451399326324463},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2836325764656067},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.25519898533821106},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22778809070587158}],"concepts":[{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.7686041593551636},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5912482738494873},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.5896528959274292},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5473246574401855},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.49726369976997375},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.4780431389808655},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4112374186515808},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3669359087944031},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.36451399326324463},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2836325764656067},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.25519898533821106},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22778809070587158},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1137/20m1348856","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1348856","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"mag:3125837188","is_oa":false,"landing_page_url":"https://ideas.repec.org/p/arx/papers/2006.13661.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:2006.13661","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/90418","is_oa":false,"landing_page_url":"http://hdl.handle.net/10397/90418","pdf_url":null,"source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal/Magazine Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5399384774","display_name":null,"funder_award_id":"11961141009","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7194725981","display_name":null,"funder_award_id":"QYZDBSSW-SYS009","funder_id":"https://openalex.org/F4320321133","funder_display_name":"Chinese Academy of Sciences"},{"id":"https://openalex.org/G7213690901","display_name":null,"funder_award_id":"11971368","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7594298208","display_name":null,"funder_award_id":"R-146-000-271-112","funder_id":"https://openalex.org/F4320320751","funder_display_name":"Ministry of Education - Singapore"}],"funders":[{"id":"https://openalex.org/F4320320751","display_name":"Ministry of Education - Singapore","ror":"https://ror.org/01kcva023"},{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321133","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35"},{"id":"https://openalex.org/F4320322724","display_name":"Ministry of Education, India","ror":"https://ror.org/048xjjh50"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W1997312835","https://openalex.org/W2016107460","https://openalex.org/W2022958749","https://openalex.org/W2029462806","https://openalex.org/W2038855137","https://openalex.org/W2046623907","https://openalex.org/W2073780676","https://openalex.org/W2074465818","https://openalex.org/W2079246218","https://openalex.org/W2106163103","https://openalex.org/W2131585284","https://openalex.org/W2141820455","https://openalex.org/W2164579754","https://openalex.org/W2171361952","https://openalex.org/W2237873869","https://openalex.org/W2729805127","https://openalex.org/W2766347619","https://openalex.org/W3023146282","https://openalex.org/W3124675891","https://openalex.org/W3124783786","https://openalex.org/W4210287945"],"related_works":["https://openalex.org/W3037680105","https://openalex.org/W1966115821","https://openalex.org/W3123859242","https://openalex.org/W3155416378","https://openalex.org/W2025822797","https://openalex.org/W1567978244","https://openalex.org/W1930984130","https://openalex.org/W21696730","https://openalex.org/W3034522789","https://openalex.org/W2356824956","https://openalex.org/W2964139766","https://openalex.org/W2798715741","https://openalex.org/W1485248950","https://openalex.org/W1464084674","https://openalex.org/W1964620550","https://openalex.org/W2604663825","https://openalex.org/W2950417256","https://openalex.org/W3149197713","https://openalex.org/W210105214","https://openalex.org/W2594082168"],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"finite":[3],"horizon":[4],"portfolio":[5,28],"management":[6],"by":[7,168],"optimally":[8],"tracking":[9,46,158],"a":[10,36,74,80,101,107,127,145,169],"ratcheting":[11],"capital":[12,25,34,56],"benchmark":[13,38],"process.":[14],"It":[15],"is":[16,48,88,135,140,159,166],"assumed":[17],"that":[18,31],"the":[19,27,32,52,61,86,113,116,124,132,149,163],"fund":[20],"manager":[21],"can":[22],"dynamically":[23],"inject":[24],"into":[26,67],"account":[29],"such":[30],"total":[33],"dominates":[35],"nondecreasing":[37],"floor":[39,65],"process":[40,83,165],"at":[41],"each":[42],"intermediate":[43],"time.":[44],"The":[45,137,153],"problem":[47,63,87],"formulated":[49],"to":[50,91,94,100,131,155],"minimize":[51],"cost":[53],"of":[54,126,148],"accumulated":[55],"injection.":[57],"We":[58],"first":[59],"transform":[60],"original":[62],"with":[64,84,106],"constraints":[66],"an":[68,95],"unconstrained":[69],"control":[70],"problem,":[71,97],"but":[72],"under":[73],"running":[75],"maximum":[76],"cost.":[77],"By":[78,111],"identifying":[79],"controlled":[81],"state":[82],"reflection,":[85],"further":[89],"shown":[90],"be":[92],"equivalent":[93],"auxiliary":[96],"which":[98,143],"leads":[99],"nonlinear":[102],"Hamilton--Jacobi--Bellman":[103],"(HJB)":[104],"equation":[105,134],"Neumann":[108],"boundary":[109],"condition.":[110],"employing":[112],"dual":[114],"transform,":[115],"probabilistic":[117],"representation,":[118],"and":[119],"some":[120],"stochastic":[121],"flow":[122],"analysis,":[123],"existence":[125],"unique":[128],"classical":[129],"solution":[130],"HJB":[133],"established.":[136],"verification":[138],"theorem":[139],"carefully":[141],"proved,":[142],"gives":[144],"complete":[146],"characterization":[147],"feedback":[150],"optimal":[151],"portfolio.":[152],"application":[154],"market":[156],"index":[157,164],"also":[160],"discussed":[161],"when":[162],"modeled":[167],"geometric":[170],"Brownian":[171],"motion.":[172]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}