This survey compares different portfolio selection frameworks, namely the common mean-variance analysis versus different mean-downside risk analysis, to determine which of these frameworks leads to the most efficient portfolio selection.

In this paper we consider a new analytic center cutting plane method in a projective space. We prove the efficiency for the general scheme and show that these results can be used in the analysis of a feasability problem, the variational inequality problem and the problem if constrained...

In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.