Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework
Author:
Funder
Department of Science and Technology, Ministry of Science and Technology
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,Business, Management and Accounting (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s00291-021-00657-6.pdf
Reference26 articles.
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3. Brogan AJ, Stidham S (2008) Non-separation in the mean-lower-partial-moment portfolio optimization problem. Eur J Oper Res 184(2):701–710
4. Chen L, He S, Zhang S (2011) Tight bounds for some risk measures, with applications to robust portfolio selection. Oper Res 59(4):847–865
5. Fishburn PC (1977) Mean-risk analysis with risk associated with below-target returns. Am Econ Rev 67(2):116–126
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