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ArticlePortfolio Optimization under Lower Partial Risk Measures

Hiroshi Konno2002

Article2002

Portfolio Optimization under Lower Partial Risk Measures

Hiroshi Konno · Hayato Waki · Atsushi Yuki

74 citations·0/0 files stored·Asia-Pacific Financial Markets

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions 1962Portfolio Selection: Efficient Diversification of Investments.1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

Cited by

2009Robust portfolio selection under downside risk measures 2010Mean–Absolute Deviation Model 2017Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time 2013Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures 2010On solving the dual for portfolio selection by optimizing Conditional Value at Risk 2018

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Year2002

Typearticle

Published2002-06-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations74

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1023/a:1022238119491

openalex_workW1490218747

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Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures

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