Ortalama-Aşağı Yönlü Varyans Tabanlı Risk Ölçütleri ve Stokastik Getirili Portföy Optimizasyonu

Author:

ACAR Elif

Publisher

Ekonomi Politika ve Finanas Arastirmalari Dergisi

Reference28 articles.

1. Kaynakça Ballestero, E. (2005). Mean-semivariance efficient frontier: A downside risk model for portfolio selection. Applied Mathematical Finance, 12(1), 1-15. https://doi.org/10.1080/1350486042000254-015

2. Bawa, V. S. and Lindenberg, E. B. (1977). Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics, 5(2), 189-200. https://doi.org/10.1016/0304-405X(77)90017-4

3. Boasson, V., Boasson, E. and Zhou, Z. (2011). Portfolio optimization in a mean-semivariance framework. Investment Management and Financial Innovations, 8(3), 58-68. Retrieved from https://businessperspectives.org/

4. Cheremushkin, S. V. (2011). Internal inconsistency of downside CAPM models. Журнал Корпоративные Финансы, 4(20), 90-111. Retrieved from http://ecsocman.hse.ru/

5. Coşkun, Y. (1999). Portföy performansının ölçülmesi ve sunulması (Yayımlanmamış yeterlilik etidü). Sermaye Piyasası Kurulu Aracılık Faaliyetleri Dairesi, Ankara.

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1. COMPARISON OF DOWN-SIDE RISK MEASUREMENTS AND MODERN PORTFOLIO THEORY: THE EXAMPLE OF BORSA ISTANBUL;Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi;2022-06-29

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