Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework

DOI10.1007/s00291-021-00657-6zbMath1485.91215OpenAlexW3209734735MaRDI QIDQ2125368

Dipankar Mondal, N. Selvaraju

Publication date: 14 April 2022

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-021-00657-6

zbMATH Keywords

convexityseparationlower partial momentkappa ratiotarget return

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Variance vs downside risk: Is there really that much difference?
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Robust tracking error portfolio selection with worst-case downside risk measures
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
• A note on a mean-lower partial moment CAPM without risk-free asset
• Non-separation in the mean -- lower-partial-moment portfolio optimization problem
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• On the foundation of performance measures under asymmetric returns
• Portfolio performance evaluation with loss aversion

This page was built for publication: Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework