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Quantitative Finance Volume 9, 2009 - Issue 7
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Research Papers

Robust portfolio selection under downside risk measures

Shushang Zhu Department of Management Science, School of Management, Fudan University, Shanghai 200433, China
,
Duan Li Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, Shatin, N.T., Hong KongCorrespondence[email protected]
&
Shouyang Wang Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100080, China
Pages 869-885 | Received 02 Jan 2007, Accepted 23 Feb 2009, Published online: 12 Oct 2009

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Zinoviy Landsman, Udi Makov, Jing Yao & Ming Zhou. (2022) Downside risk optimization with random targets and portfolio amplitude. The European Journal of Finance 28:16, pages 1642-1663.
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Jang Ho Kim, Woo Chang Kim & Frank J. Fabozzi. (2017) Penalizing variances for higher dependency on factors. Quantitative Finance 17:4, pages 479-489.
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Fima Klebaner, Zinoviy Landsman, Udi Makov & Jing Yao. (2017) Optimal portfolios with downside risk. Quantitative Finance 17:3, pages 315-325.
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Shushang Zhu, Minjie Fan & Duan Li. (2014) Portfolio management with robustness in both prediction and decision: A mixture model based learning approach. Journal of Economic Dynamics and Control 48, pages 1-25.
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Ran Ji, Miguel Lejeune & Zhengyang Fan. (2019) Distributionally Robust Portfolio Optimization with STARR Performance Measure. SSRN Electronic Journal.
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