Downside risk optimization with random targets and portfolio amplitude
Autor: | Zinoviy Landsman, Udi Makov, Jing Yao, Ming Zhou |
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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 |
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