Hoe, Lam Weng; Hafizah, Jaaman Saiful; Zaidi, Isa - In: Business and Economic Horizons (BEH) 1 (2010) 1, pp. 39-45
Risk is one of the important parameters in portfolio optimization problem. Since the introduction of the mean-variance model, variance has become the most common risk measure used by practitioners and researchers in portfolio optimization. However, the mean-variance model relies strictly on the...