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  • Search: subject:"upper partial moment optimization formulation"
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Subject
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Four utility cases 2 Portfolio optimization 2 Von Neumann and Morganstern utility theory 2 Erwartungsnutzen 1 Expected utility 1 Lower partial moment 1 Lower partial moment and upper partial moment optimization formulation 1 Nutzen 1 Nutzentheorie 1 Portfolio selection 1 Portfolio-Management 1 Risikomaß 1 Risk measure 1 Utility 1 Utility theory 1 upper partial moment optimization formulation 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Cumova, Denisa 1 Nawrocki, David 1 Nawrocki, David N. 1 Čumova, Denisa 1
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Journal of Economics and Business 1 Journal of economics & business 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Portfolio optimization in an upside potential and downside risk framework
Cumova, Denisa; Nawrocki, David - In: Journal of Economics and Business 71 (2014) C, pp. 68-89
The lower partial moment (LPM) has been the downside risk measure that is most commonly used in portfolio analysis. Its major disadvantage is that its underlying utility functions are linear above some target return. As a result, the upper partial moment (UPM)/lower partial moment (LPM) analysis...
Persistent link: https://www.econbiz.de/10010738308
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Cover Image
Portfolio optimization in an upside potential and downside risk framework
Čumova, Denisa; Nawrocki, David N. - In: Journal of economics & business 71 (2014), pp. 68-89
Persistent link: https://www.econbiz.de/10010389520
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