Computing Mean/Downside Risk Frontiers: The Role of Ellipticity

  • Antony D. Hall
  • Steve E. Satchell
Part of the Springer Optimization and Its Applications book series (SOIA, volume 18)


Risk Measure Portfolio Return Downside Risk Short Selling Portfolio Weight 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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We thank John Knight and Peter Buchen for many helpful comments.


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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  1. 1.University of Technology, SydneySchool of Finance and EconomicsSydneyAustralia
  2. 2.University of CambridgeFaculty of EconomicsCambridgeUK

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