Mean-Variance Optimization Is a Good Choice, But for Other Reasons than You Might Think
Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths and weaknesses of semivariance and how to minimize i...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-03-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/1/29 |