Maximum downside semi deviation stochastic programming for portfolio optimization problem
Portfolio optimization is an important research field in financial decision making. The chief character within optimization problems is the uncertainty of future returns. Probabilistic methods are used alongside optimization techniques. Markowitz (1952, 1959) introduced the concept of risk into the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wayne State University
2010
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| Subjects: | |
| Online Access: | View Fulltext in Publisher View in Scopus |