Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection

DOI10.1080/1350486042000254015zbMath1113.91018MaRDI QIDQ5460659

Enrique Ballestero

Publication date: 18 July 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000254015

zbMATH Keywords

covariance matrix; risk measures; parametric quadratic programming; portfolio semivariance

Mathematics Subject Classification ID

91G10: Portfolio theory

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Cites Work

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• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Approximating the optimum portfolio for an investor with particular preferences