Portfolio Optimization under Lower Partial Risk Measures

By H. Konno, Hayato Waki, Atsushi Yuuki. 2002

78 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/3bb0df0107582a20e84bd83adb68fa4f2e6e60ca

How researchers see this paper

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

In Finance

1. Shouyang Wang
2. Duan Li
3. Shushang Zhu
4. Xun Yu Zhou
5. Peter A. Forsyth
6. Elena Vigna
7. Xun Li
8. Huyen Pham

In Management Science and Operations Research

1. Shouyang Wang
2. Shushang Zhu
3. Duan Li
4. Sang-Chin Yang
5. Kuang-Jung Chang
6. Tun-Jen Chang
7. Xun Yu Zhou
8. Peter A. Forsyth

In Ocean Engineering

1. Shouyang Wang
2. Shushang Zhu
3. Duan Li

Citations in the corpus

• Robust portfolio selection under downside risk measures (2009, background): “Among others, Konno et al. (2002) illustrated the worthiness of using downside risk measures in portfolio optimization.”
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009, unknown): “x ∈ X , (19) α + 1 1− β ( π )T u ≤ θ, i = 1, · · · , l, (20) uk ≥ f(x,y [k])− α, k = 1, · · · , S, i = 1, · · · , l, (21) uk ≥ 0, k = 1, · · · , S, i = 1, · · · , l.”
• Portfolio optimization problems in different risk measures using genetic algorithm (2009, background): “Konno, Waki, and Yuuki (2002) showed that very large-scale meanlower partial risk models are solvable in an efficient manner by the mathematical programming methodology.”