OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES (Q5459961)
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scientific article; zbMATH DE number 5270381
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| English | OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES |
scientific article; zbMATH DE number 5270381 |
Statements
OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES (English)
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30 April 2008
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constraint portfolio optimization
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lower partial moments
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risk measures
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risk optimal martingale measure
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convex analysis
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0.8454606533050537
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0.7784660458564758
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0.772162139415741
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0.7619339823722839
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0.7568319439888
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