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Computation of the Efficient Boundary in the E-S Portfolio Selection Model

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  • Hogan, William W.
  • Warren, James M.
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    File URL: http://journals.cambridge.org/abstract_S0022109000017816
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 7 (1972)
    Issue (Month): 04 (September)
    Pages: 1881-1896

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    Handle: RePEc:cup:jfinqa:v:7:y:1972:i:04:p:1881-1896_01

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    Cited by:
    1. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
    2. Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007. "Risk premium: insights over the threshold," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 41-59.
    3. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
    4. Lee, Sang-Hak & Yang, Seung-Ryong, 2000. "The Minimum Semi-Variance Hedge For Food Manufacturers In Korea," 2000 Annual meeting, July 30-August 2, Tampa, FL 21867, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Anna Rutkowska-Ziarko, 2005. "Methods of finding the effective portfolio for semi-variance," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 63-83.
    6. Stevenson, Simon, 2001. "Emerging markets, downside risk and the asset allocation decision," Emerging Markets Review, Elsevier, vol. 2(1), pages 50-66, March.
    7. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
    8. Shaun Bond & Stephen Satchell, 2006. "Asymmetry and downside risk in foreign exchange markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 313-332.
    9. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.

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