Portfolio selection: a target-distribution approach

DOI10.1016/J.EJOR.2023.02.014MaRDI QIDQ6113329zbMATH OpenOpenAlexFDO

Authors Nathan Lassance, Frédéric Vrins

Publication date 11 July 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2023.02.014

zbMATH Keywords

Kullback-Leibler divergenceportfolio optimizationdownside riskhigher moments

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cited in

(10)

• A method for portfolio choice
• A three-moment portfolio selection model: multipliers and duality
• Investor preferences and portfolio selection: is diversification an appropriate strategy?
• Selecting a discrete portfolio
• Notes on the Markowitz portfolio selection method
• First passage times in portfolio optimization: a novel nonparametric approach
• PORTFOLIO SELECTION USING LEVEL CROSSING ANALYSIS
• Selection of balanced portfolios to track the main properties of a large market
• Portfolio selection: an alternative approach
• Robust elicitable functionals

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