The Geometric Portfolio Optimization with Semivariance in Financial Engineering
نویسندگان
چکیده
In this paper we consider a portfolio optimization problem on maximizing the geometric mean return subject to the lower semivariance as a risk measure in the financial engineering. Its optimal condition and the solving method via the Monte Carlo simulation are given, and a numerical experiment is presented in order to show that the method is efficient. © 2011 Published by Elsevier Ltd. Selection and peer-review under responsibility of Desheng Dash Wu
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تاریخ انتشار 2015