Optimal portfolios with downside risk

被引：18
|
作者：
Klebaner, Fima [1 ]
Landsman, Zinoviy [2 ]
Makov, Udi [2 ]
Yao, Jing [3 ]
机构：
[1] Monash Univ, Sch Math Sci, Melbourne, Vic, Australia
[2] Univ Haifa, Dept Stat, Haifa, Israel
[3] Vrije Univ Brussels, Fac Econ, Brussels, Belgium
来源：
QUANTITATIVE FINANCE | 2017年 / 17卷 / 03期
关键词：
LOWER PARTIAL MOMENT; CONDITIONAL VALUE; OPTIMIZATION; MODELS;
D O I：
10.1080/14697688.2016.1197411
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：315 / 325
页数：11
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