Gabih, A.; Grecksch, W.; Richter, M.; Wunderlich, R. - In: Mathematical Methods of Operations Research 64 (2006) 2, pp. 211-225
The paper investigates the impact of adding a shortfall risk constraint to the problem of a portfolio manager who wishes to maximize his utility from the portfolios terminal wealth. Since portfolio managers are often evaluated relative to benchmarks which depend on the stock market we capture...
