Portfolio optimization under lower partial risk measures

DOI10.1023/A:1022238119491zbMath1056.91032OpenAlexW1490218747MaRDI QIDQ1425572

Hiroshi Konno, Hayato Waki, Atsushi Yuuki

Publication date: 17 March 2004

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022238119491

zbMATH Keywords

portfolio managementfactor modelconditional value-at-riskdense linear programming problemlower partial risklower-semi absolute deviation

Mathematics Subject Classification ID

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