Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
نویسندگان
چکیده
منابع مشابه
Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
To create efficient funds appealing to a sector of bank clients, the objective of minimizing downside risk is relevant to managers of funds offered by the banks. In this paper, a case focusing on this objective is developed. More precisely, the scope and purpose of the paper is to apply the mean-semivariance efficient frontier model, which is a recent approach to portfolio selection of stocks w...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2012
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-012-1243-x