Variance vs downside risk: Is there really that much difference?

European Journal of Operational Research

Volumn 114, Issue 2, 1999, Pages 304-319

  Grootveld, Henk ^b   Hallerbach, Winfried ^a  

^a TINBERGEN INSTITUTE   (Netherlands)

^b NONE

Author keywords

Downside risk; Estimation risk; Lower partial moments; Portfolio optimization; Semi variance

Indexed keywords

COMPUTER SIMULATION; MATHEMATICAL MODELS; OPTIMIZATION; PARAMETER ESTIMATION; RESOURCE ALLOCATION; STATISTICAL METHODS;

DOWNSIDE RISKS; LOWER PARTIAL MOMENTS; PORTFOLIO OPTIMIZATION; SEMI-VARIANCE METHODS;

RISK MANAGEMENT;

EID: 0033115148     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(98)00258-6     Document Type: Article

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