Modified Mean-Variance Risk Measures for Long-Term Portfolios
This paper proposes modified mean-variance risk measures for long-term investment portfolios. Two types of portfolios are considered: constant proportion portfolios and increasing amount portfolios. They are widely used in finance for investing assets and developing derivative securities. We compare...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-01-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/2/111 |