Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
type: Item
instance of: scholarly article
title: Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
zbMATH Open document ID: 0785.90013
DOI: 10.1007/BF02282047
author: Alan J. King
published in: Annals of Operations Research
publication date: 1994-01-26T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C20
zbMATH DE Number: 490518
zbMATH Keywords: portfolio optimization
zbMATH Keywords: asymmetric risk
zbMATH Keywords: lower partial moments
zbMATH Keywords: local quadratic approximation
zbMATH Keywords: piecewise linear-quadratic risk measures
zbMATH Keywords: tracking model
describes a project that uses: OSL
MaRDI profile type: Publication
cites work: Scenario optimization
cites work: Robust Statistics
cites work: Linear‐quadratic efficient frontiers for portfolio optimization
cites work: PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
cites work: Risk Aversion in the Small and in the Large
full work available at URL: https://doi.org/10.1007/bf02282047
OpenAlex ID: W2046125775
description: scientific article; zbMATH DE number 490518