Computing Mean/Downside Risk Frontiers: The Role of Ellipticity
Part of the Springer Optimization and Its Applications book series (SOIA, volume 18)
KeywordsRisk 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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