Downside risk optimization with random targets and portfolio amplitude

Autor: Zinoviy Landsman, Udi Makov, Jing Yao, Ming Zhou
Rok vydání: 2021
Předmět:
Zdroj: The European Journal of Finance. 28:1642-1663
ISSN: 1466-4364
1351-847X
DOI: 10.1080/1351847x.2021.1991421
Popis: In this paper, we discuss downside risk optimization in the context of portfolio selection. We derive explicit solutions to the optimal portfolios that minimize the downside risk with respect to co...
Databáze: OpenAIRE