Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips.
David Plà-SantamariaMila BravoPublished in: Ann. Oper. Res. (2013)
Keyphrases
- portfolio optimization
- dow jones
- efficient frontier
- stock price
- stock exchange
- data envelopment analysis
- stock market
- portfolio management
- multiple criteria
- decision makers
- financial data
- linear program
- risk measures
- investment decisions
- non stationary
- financial time series
- financial markets
- news articles
- multi objective
- historical data
- exchange rate
- risk management
- linear programming
- multi criteria
- expert systems
- robust optimization
- portfolio selection
- bi objective
- multi objective optimization
- sharpe ratio