Construction of a portfolio with shorter downside tail and longer upside tail (Q535300)
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scientific article; zbMATH DE number 5886875
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of a portfolio with shorter downside tail and longer upside tail |
scientific article; zbMATH DE number 5886875 |
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Construction of a portfolio with shorter downside tail and longer upside tail (English)
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11 May 2011
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portfolio optimization
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Rachev ratio
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modified Rachev ratio
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downside tail
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upside tail
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fractional programming
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0-1 integer programming
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0.8315554
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0.8263008
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0.8237582
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0.8232221
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0.8202586
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