A. Mahmoudi

[ 1 ] - A new methodology for deriving the efficient frontier of stocks portfolios: An advanced risk-return model

In this paper after a general literature review on the concept of Efficient Frontier (EF), an important inadequacy of the Variance based models for deriving EFs and the high necessity for applying another risk measure is exemplified. In this regard for this study the risk measure of Lower Partial Moment of the first order is decided to replace Variance. Because of the particular shape of the pr...