On extending the LP computable risk measures to account downside risk

Computational Optimization and Applications

Volumn 32, Issue 1-2, 2005, Pages 133-160

  Krzemienowski, Adam ^a   Ogryczak, Włodzimierz ^a  

^a WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Downside risk; Linear programming; Mean risk; Portfolio optimization; Stochastic dominance

Indexed keywords

MATHEMATICAL MODELS; OPTIMIZATION; QUADRATIC PROGRAMMING; RANDOM PROCESSES; RISK MANAGEMENT;

DOWNSIDE RISK; GINI'S MEAN ABSOLUTE DIFFERENCE (GMD); MEAN ABSOLUTE DEVIATION (MAD); MEAN-RISK; PORTFOLIO OPTIMIZATION; STOCHASTIC DOMINANCE;

LINEAR PROGRAMMING;

EID: 23944444365     PISSN: 09266003     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10589-005-2057-4     Document Type: Article

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