Aggregation of downside risk and portfolio selection

DOI10.1016/J.JMATECO.2025.103138MaRDI QIDQ6940372zbMATH OpenFDO

Authors Conrad Spanaus, Jan Wenzelburger

Publication date 19 August 2025

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMATECO.2025.103138

zbMATH Keywords

below-target semideviationchoice under uncertaintydownside-risk analysisgeneral deviation measuresportfolio theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites work

• A NOTE ON SEMIVARIANCE
• A well-conditioned estimator for large-dimensional covariance matrices
• Coherent measures of risk
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Convex Analysis
• Downside Loss Aversion and Portfolio Management
• Drawdown beta and portfolio optimization
• Generalized deviations in risk analysis
• Mean-expectile portfolio selection
• Mean-variance analysis and the modified market portfolio
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
• Measures, Integrals and Martingales
• Optimality conditions in portfolio analysis with general deviation measures
• Risk concentration and the mean-expected shortfall criterion
• Surplus-invariant risk measures
• The two-fund separation theorem revisited
• Variance vs downside risk: Is there really that much difference?

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