Portfolio analysis with an asymmetric linear risk measure
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Publication:3609318
Recommendations
- Portfolio optimization under lower partial risk measures
- Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
- On extending the LP computable risk measures to account downside risk
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- A mean-absolute deviation-skewness portfolio optimization model
Cited in
(10)- Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
- Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
- Portfolio optimization under lower partial risk measures
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Risk-reward ratio optimisation (revisited)
- Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
- scientific article; zbMATH DE number 1878057 (Why is no real title available?)
- The portfolio risk measurement based on the asymmetric weighted hybrid Archimedes copula model
- THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
- Portfolio selection: a linear approach with dual expected utility
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