Higher moment portfolio management with downside risk
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization with Higher Moment Risk Measures
The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via solutions of specially constructed stochastic programming problems. Using the developed representations, we introduce a new fa...
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ژورنال
عنوان ژورنال: American Journal of Social and Management Sciences
سال: 2011
ISSN: 2156-1540,2156-1559
DOI: 10.5251/ajsms.2011.2.2.220.224