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Asymptotic behaviour of mean-quantile efficient portfolios

Author

Listed:
  • Gordana Dmitrašinović-Vidović
  • Antony Ware

Abstract

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Suggested Citation

  • Gordana Dmitrašinović-Vidović & Antony Ware, 2006. "Asymptotic behaviour of mean-quantile efficient portfolios," Finance and Stochastics, Springer, vol. 10(4), pages 529-551, December.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:529-551
    DOI: 10.1007/s00780-006-0018-0
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    Citations

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    Cited by:

    1. Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2014. "Risk minimization and portfolio diversification," Papers 1411.6657, arXiv.org, revised Dec 2014.
    2. Feghhi Kashani , Mohammad & Mohebimajd , Ahmadreza, 2021. "Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 253-282, June.
    3. Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2016. "Risk minimization and portfolio diversification," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1325-1332, September.
    4. Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu, 2014. "Risk Measures and Portfolio Optimization," JRFM, MDPI, vol. 7(3), pages 1-17, September.

    More about this item

    Keywords

    Portfolio optimization; Merton’s portfolio; Quantile; Value at risk; Capital at risk; 91B28; 93E20; G11; C61;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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