On Extending the LP Computable Risk Measures to Account Downside Risk
نویسندگان
چکیده
منابع مشابه
On Extending the LP Computable Risk Measures to Account Downside Risk
A mathematical model of portfolio optimization is usually quantified with mean-risk models offering a lucid form of two criteria with possible trade-off analysis. In the classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. Following Sharpe's work on linear approximation to the mean-variance model, many attempts have been made to lineariz...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2005
ISSN: 0926-6003,1573-2894
DOI: 10.1007/s10589-005-2057-4