scientific article; zbMATH DE number 2009828

MaRDI QIDQ4434699zbMATH OpenFDO

Authors Ali Lari-Lavassani, Xun Li

Publication date 26 November 2003

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2657/26570095.htm

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market
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• Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
• Mean–semivariance portfolio selection under probability distortion
• Extended semi A.D and dynamic portfolio selection
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• Portfolio selection based on semivariance and distance correlation under minimum variance framework
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• Multi-period semi-variance portfolio selection: model and numerical solution

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