Extending the MAD portfolio optimization model to incorporate downside risk aversion
Work
Year: 2001
Type: article
Abstract: A mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable tradeoff between expected rate of return and risk is sought. In a classic... more
Source: Naval Research Logistics (NRL)
Institutions Carleton University, Warsaw University of Technology
Cites: 30
Cited by: 55
Related to: 10
FWCI: 2.352
Citation percentile (by year/subfield): 88.7
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green