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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | en |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2011
|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!