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Risk minimization and portfolio diversification

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  • Farzad Pourbabaee
  • Minsuk Kwak
  • Traian A. Pirvu

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  • 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.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:9:p:1325-1332
    DOI: 10.1080/14697688.2015.1115891
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    References listed on IDEAS

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    1. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    2. Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu, 2014. "Risk Measures and Portfolio Optimization," JRFM, MDPI, vol. 7(3), pages 1-17, September.
    3. Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
    4. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
    5. Gordana Dmitrašinović-Vidović & Ali Lari-Lavassani & Xun Li & Antony Ware, 2011. "Dynamic Portfolio Selection Under Capital-At-Risk With No Short-Selling Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 957-977.
    6. Susanne Emmer & Claudia Klüppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 365-384, October.
    7. Markowitz, Harry M, 1991. "Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-477, June.
    8. Gordana Dmitrašinović-Vidović & Antony Ware, 2006. "Asymptotic behaviour of mean-quantile efficient portfolios," Finance and Stochastics, Springer, vol. 10(4), pages 529-551, December.
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    Cited by:

    1. Aditya Maheshwari & Traian Pirvu, 2019. "Portfolio Optimization under Correlation Constraint," Papers 1912.12521, arXiv.org.
    2. Aditya Maheshwari & Traian A. Pirvu, 2020. "Portfolio Optimization under Correlation Constraint," Risks, MDPI, vol. 8(1), pages 1-18, February.
    3. Benita, Francisco & Nasini, Stefano & Nessah, Rabia, 2022. "A cooperative bargaining framework for decentralized portfolio optimization," Journal of Mathematical Economics, Elsevier, vol. 103(C).

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