1,403
Views
18
CrossRef citations to date
0
Altmetric
Features

Optimal portfolios with downside risk

, , &
Pages 315-325 | Received 13 Nov 2015, Accepted 26 May 2016, Published online: 19 Jul 2016

References

  • Artzner, P., Delbean, F., Eber, J.-M. and Heath, D., Coherent measures of risk. Math. Finance, 1999, 9(3), 203–228.
  • Bawa, V.S., Safety-first, stochastic dominance, and optimal portfolio choice. J. Financ. Quant. Anal., 1978, 13(2), 255–271.
  • Cumova, D. and Nawrocki, D., Portfolio optimization in an upside potential and downside risk framework. J. Econ. Bus., 2014, 71, 68–89.
  • Fang, K.T., Kotz, S. and Ng, K.W., Symmetric Multivariate and Related Distributions, 1990 (Chapman & Hall: London).
  • Fishburn, P.C., Mean-risk analysis with risk associated with below-target returns. Am. Econ. Rev., 1977, 67(2), 116–126.
  • Gabrel, V., Murat, C. and Thiele, A., Recent advances in robust optimization: An overview. Eur. J. Oper. Res., 2014, 235(3), 471–483.
  • Harlow, W.V., Asset allocation in a downside risk framework. Financ. Anal. J., 1991, 475, 28–40.
  • Harlow, W.V. and Rao, R.K.S., Asset pricing in a generalize mean-lower partial moments framework: Theory and evidence. J. Financ. Quant. Anal., 1989, 24(3), 285–309.
  • Jarrow, R. and Zhao, F., Downside loss aversion and portfolio management. Manage. Sci., 2006, 52(4), 558–566.
  • Joro, T. and Na, P., Portfolio performance evaluation in a mean-variance-skewness framework. Eur. J. Oper. Res., 2006, 175(1), 446–461.
  • Konno, H. and Yamazaki, H., Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market. Manage. Sci., 1991, 37, 519–531.
  • Landsman, Z., Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management. J. Comput. Appl. Math., 2008, 216(2), 319–327.
  • Luenberger, D.G. and Ye, Y., Linear and Nonlinear Programming, 1984 (Addison-Wesley: Reading, MA).
  • Mansini, R., Ogryczak, W. and Speranza, M.G., Conditional value at risk and related linear programming models for portfolio optimization. Ann. Oper. Res., 2007, 152, 227–256.
  • Markowitz, H.M., Mean-variance Analysis in Portfolio Choice and Capital Markets, 1987 (Blackwell: Oxford).
  • Markowitz, H., Porfolio theory: As i still see it. Ann. Rev. Financ. Econ., 2010, 2, 1–41.
  • McNeil, A.J., Frey, R. and Embrechts, P., Quantitative Risk Management, 2005 (Princeton University Press: Princeton, NJ).
  • Nawrocki, D., Optimal algorithms and lower partial moment: Ex post results. Appl. Econ., 1991, 23(3), 465–470.
  • Nawrocki, D., A brief history of downside risk measures. J. Invest., 1999, 8(3), 9–26.
  • Ogryczak, W. and Sliwinski, T., On Solving the dual for portfolio selection by optimizing conditional value at risk. Comput. Optim.Appl., 2011a, 50(3), 591–595.
  • Ogryczak, W. and Sliwinski, T., On dual approaches to efficient optimization of LP computable risk measures for portfolio selection. Asian-Pac. J. Oper. Res., 2011b, 28(1), 41–63.
  • Rockefeller, R.T. and Uryasev, S., Conditional value-at-risk for general loss distributions. J. Bank. Finance, 2002, 26(7), 1443–1471.
  • Sawik, B., A three stage lexicographic approach for multi-criteria portfolio optimization by mixed integer programming. Prz. Elektrotech., 2008, 84(9), 108–112.
  • Sawik, B., Bi-criteria portfolio optimization models with percentile and symmetric risk measures by mathematical programming. Prz. Elektrotech., 2012a, 88(10B), 176–180.
  • Sawik, B., Downside risk approach for multi-objective portfolio optimization. In Operations Research Proceedings 2011, pp. 191–196, 2012b (Springer: Berlin). doi: 10.1007/978-3-642-29210-1\_31.
  • Sawik, B., Triple-objective models for portfolio optimization with symmetric and percentile risk measures. Int. J. Logist. Syst. Manage., 2016, forthcoming.
  • Sharpe, W.F., Mean-absolute deviation characteristic lines for securities and portfolios. Manage. Sci., 1971, 18, B1–B13.
  • Zhu, S., Li, D. and Wang, S., Robust portfolio selection under downside risk measures. Quant. Finance, 2009, 9(7), 869–885.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.