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Downside risk optimization with random targets and portfolio amplitude

Published:2021-10-29 Issue: Volume: Page:1-22
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Landsman Zinoviy¹²,Makov Udi¹,Yao Jing³,Zhou Ming⁴

Affiliation:

1. Actuarial Research Center, Department of Statistics, University of Haifa, Haifa, Israel

2. Faculty of Sciences, Holon Institute of Technology, Holon, Israel

3. Maxwell Institute for Mathematical Sciences and School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh, UK

4. Department of Risk Management and Actuarial Science, School of Statistics, Renmin University of China, Beijing, People's Republic of China

Funder

Israel Science Foundation

National Natural Science Foundation of China

London Mathematical Society

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2021.1991421

Reference29 articles.

1. Risk Management with Benchmarking

2. An evolutionary heuristic for the index tracking problem

3. Portfolio optimization in an upside potential and downside risk framework

4. Portfolio insurance under a risk-measure constraint

5. Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?

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