Downside risk in multiperiod tracking error models
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- Diana Barro & Elio Canestrelli, 2014. "Downside risk in multiperiod tracking error models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
References listed on IDEAS
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- repec:spr:cejnor:v:26:y:2018:i:1:d:10.1007_s10100-017-0477-8 is not listed on IDEAS
- Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
More about this item
KeywordsTracking error; Downside risk; Dynamic portfolio; Stochastic programming;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
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