Portfolio optimization under lower partial risk measures
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Publication:1425572
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
portfolio managementfactor modelconditional value-at-riskdense linear programming problemlower partial risklower-semi absolute deviation
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