Different downside risk approaches in portfolio optimisation
Variance is commonly used as risk measure in portfolio optimisation to find the trade-off between the risk and return. Investors wish to minimise the risk at the given level of return.However, the mean-variance model has been criticised because of its limitations. The meanvariance model strictly re...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2011
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| Online Access: | http://journalarticle.ukm.my/2892/1/jqma-7-1-07-saiful.pdf http://journalarticle.ukm.my/2892/ http://www.ukm.my/~ppsmfst/jqma |
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