The Geometric Portfolio Optimization with Semivariance in Financial Engineering
نویسندگان
چکیده
منابع مشابه
The Geometric Portfolio Optimization with Semivariance in Financial Engineering
In this paper we consider a portfolio optimization problem on maximizing the geometric mean return subject to the lower semivariance as a risk measure in the financial engineering. Its optimal condition and the solving method via the Monte Carlo simulation are given, and a numerical experiment is presented in order to show that the method is efficient. © 2011 Published by Elsevier Ltd. Selectio...
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ژورنال
عنوان ژورنال: Systems Engineering Procedia
سال: 2012
ISSN: 2211-3819
DOI: 10.1016/j.sepro.2011.10.034