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Mean-semivariance portfolio optimization using minimum average partial - MaRDI portal

Mean-semivariance portfolio optimization using minimum average partial

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Publication:6547044

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DOI10.1007/s10479-022-04736-xzbMath1537.91286MaRDI QIDQ6547044

Katarína Lučivjanská, Andrea Rigamonti

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

principal component analysis portfolio optimization parameter uncertainty downside risk semivariance minimum average partial

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Portfolio theory (91G10)

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