OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
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Publication:5459961
DOI10.1111/J.1467-9965.2007.00335.XzbMATH Open1145.91042OpenAlexW2076792290MaRDI QIDQ5459961FDOQ5459961
Authors: Johannes Leitner 
Publication date: 30 April 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00335.x
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convex analysisrisk measureslower partial momentsconstraint portfolio optimizationrisk optimal martingale measure
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Cited In (5)
- Non-separation in the mean -- lower-partial-moment portfolio optimization problem
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
- Dynamic quasi concave performance measures
- A sparse chance constrained portfolio selection model with multiple constraints
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