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Portfolio Optimization under Lower Partial Risk Measures

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2002

On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall

130 cited

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2010On solving the dual for portfolio selection by optimizing Conditional Value at Risk37 cited
2018Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures36 cited
2012Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips35 cited
2018Does low leverage minimise the impact of financial shocks? New optimisation strategies using Islamic stock screening for European portfolios17 cited