Extending the MAD portfolio optimization model to incorporate downside risk aversion

By W. Michalowski, Wlodzimierz Ogryczak. 2001

63 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2993111c9bfaa3de6a5126048e4c597f3714ac50

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Andrzej Ruszczynski

In Management Science and Operations Research

1. Andrzej Ruszczynski
2. Wlodzimierz Ogryczak
3. Alexander Shapiro
4. Darinka Dentcheva †
5. Nilay Noyan
6. Vedat Verter
7. Gautam Mitra
8. Diana Roman

In Statistics and Probability

1. Andrzej Ruszczynski
2. Wlodzimierz Ogryczak
3. Nilay Noyan
4. Vedat Verter
5. Alexander Shapiro
6. Darinka Dentcheva †
7. Pavlo A. Krokhmal
8. Marco Pavone

Citations in the corpus

• Dual stochastic dominance and quantile risk measures (2002, background): “However, they do not require any specific type of return distributions and, opposite to the mean-variance approach, they can be applied to general (possibly non-symmetric) random variables (Michalowski and Ogryczak, 2001).”