Portfolio optimization in an upside potential and downside risk framework
Year of publication: |
2014
|
---|---|
Authors: | Cumova, Denisa ; Nawrocki, David |
Published in: |
Journal of Economics and Business. - Elsevier, ISSN 0148-6195. - Vol. 71.2014, C, p. 68-89
|
Publisher: |
Elsevier |
Subject: | Portfolio optimization | Von Neumann and Morganstern utility theory | Lower partial moment and upper partial moment optimization formulation | Four utility cases |
-
Portfolio optimization in an upside potential and downside risk framework
Čumova, Denisa, (2014)
-
Dynamic portfolio selection under capital-at-risk with no short-selling constraints
Dmitrašinović-Vidović, Gordana, (2011)
-
On the performance of the minimum VAR portfolio
Durand, Robert B., (2011)
- More ...
-
A symmetric LPM model for heuristic mean–semivariance analysis
Cumova, Denisa, (2011)
-
A symmetric LPM model for heuristic mean-semivariance analysis
Cumova, Denisa, (2011)
-
Cumova, Denisa, (2015)
- More ...