OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
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Cites work
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- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- Quantile hedging
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- Worst case model risk management
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
- Dynamic quasi concave performance measures
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
- A sparse chance constrained portfolio selection model with multiple constraints
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