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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 85, 2013 - Issue 4: Taksar Memorial Issue
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Original Articles

Mean–semivariance portfolio selection under probability distortion

J. Bi East China Normal University, Shanghai, P.R. China
,
Y. Zhong The University of Oxford, Oxford, UK
&
X. Y. Zhou East China Normal University, Shanghai, P.R. China; The University of Oxford, Oxford, UK; The Chinese University of Hong Kong, Shatin, Hong Kong SAR, P.R. ChinaCorrespondence[email protected]
Pages 604-619 | Received 20 Mar 2013, Accepted 16 Apr 2013, Published online: 30 May 2013

Citations (4)

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Read on this site (1)

Junna Bi & Danping Li. (2023) Behavioral mean-risk portfolio selection in continuous time via quantile. Communications in Statistics - Theory and Methods 52:14, pages 4904-4933.
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Articles from other publishers (3)

Yan Li & Hui Mi. (2021) Portfolio optimization under safety first expected utility with nonlinear probability distortion. Chaos, Solitons & Fractals 147, pages 110917.
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Ruili Sun, Tiefeng Ma, Shuangzhe Liu & Milind Sathye. (2019) Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. Journal of Risk and Financial Management 12:1, pages 48.
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Junna Bi, Hanqing Jin & Qingbin Meng. (2018) Behavioral mean-variance portfolio selection. European Journal of Operational Research 271:2, pages 644-663.
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