Construction of a portfolio with shorter downside tail and longer upside tail

DOI10.1007/s10589-009-9255-4zbMath1219.90168OpenAlexW2012271732MaRDI QIDQ535300

Rei Yamamoto, Katsuhiro Tanaka, Hiroshi Konno

Publication date: 11 May 2011

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-009-9255-4

zbMATH Keywords

fractional programmingportfolio optimization0-1 integer programmingdownside tailmodified Rachev ratioRachev ratioupside tail

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Fractional programming (90C32)

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