Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework (Q2125368): Difference between revisions

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+Non-separation in the mean -- lower-partial-moment portfolio optimization problem
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+Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
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+Variance vs downside risk: Is there really that much difference?
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+Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
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+Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
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+Robust tracking error portfolio selection with worst-case downside risk measures
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+A note on a mean-lower partial moment CAPM without risk-free asset
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+From stochastic dominance to mean-risk models: Semideviations as risk measures
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+On the foundation of performance measures under asymmetric returns
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+Portfolio performance evaluation with loss aversion
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