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

DOI10.1007/S00291-021-00657-6MaRDI QIDQ2125368zbMATH OpenOpenAlexFDO

Authors 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

convexitykappa ratiolower partial momentseparationtarget return

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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

Cited in

(2)

• Non-separation in the mean -- lower-partial-moment portfolio optimization problem
• An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio

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