Portfolio selection with limited downside risk
نویسندگان
چکیده
منابع مشابه
Portfolio selection with limited downside risk
A safety-first investor maximizes expected return subject to a downside risk constraint. w Arzac and Bawa Arzac, E.R., Bawa, V.S., 1977. Portfolio choice and equilibrium in capital x markets with safety-first investors. Journal of Financial Economics 4, 277–288. use the Value at Risk as the downside risk measure. The paper by Gourieroux, Laurent and Scaillet estimates the optimal safety-first p...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2000
ISSN: 0927-5398
DOI: 10.1016/s0927-5398(00)00016-5