Portfolio optimization under lower partial risk measures

Asia-Pacific Financial Markets

Volumn 9, Issue 2, 2002, Pages 127-140

  Konno, Hiroshi ^a,b   Waki, Hayato ^c   Yuuki, Atsushi ^d  

^a CHUO UNIVERSITY   (Japan)

^b KYOTO UNIVERSITY   (Japan)

^c TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

^d UFJ Trust and Banking Co

Author keywords

Conditional value at risk; Dense linear programming problem; Factor model; Lower partial risk; Lower semi absolute deviation; Portfolio management

Indexed keywords

EID: 24944501358     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1022238119491     Document Type: Article

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