Robust portfolio selection under downside risk measures

Quantitative Finance

Volumn 9, Issue 7, 2009, Pages 869-885

  Zhu, Shushang ^a   Li, Duan ^b   Wang, Shouyang ^c  

^a FUDAN UNIVERSITY   (China)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^c INSTITUTE OF SYSTEMS SCIENCE   (China)

Author keywords

Downside risk; Lower partial moment; Portfolio selection; Robust optimization

Indexed keywords

EID: 70350251853     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680902852746     Document Type: Article

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