Downside Loss Aversion and Portfolio Management
Year of publication: |
2006
|
---|---|
Authors: | Jarrow, Robert ; Zhao, Feng |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 52.2006, 4, p. 558-566
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | downside risk | loss aversion | portfolio management | lower partial moments | heavy-tail distributions |
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