Volatility versus downside risk: performance protection in dynamic portfolio strategies
DOI10.1007/s10287-018-0310-4OpenAlexW2803684714MaRDI QIDQ2320466
Elio Canestrelli, Diana Barro, Giorgio Consigli
Publication date: 23 August 2019
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10278/3700985
stochastic programminghedgingvolatilityrisk managementmean absolute deviationtail riskderivatives payoffs
Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Stochastic programming (90C15) Decomposition methods (49M27) Operations research and management science (90Bxx)
Related Items (2)
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