Portfolio optimization in an upside potential and downside risk framework
Abstract
The lower partial moment (LPM) has been the downside risk measure that is most commonly used in portfolio analysis. Its major disadvantage is that its underlying utility functions are linear above some target return. As a result, the upper partial moment (UPM)/lower partial moment (LPM) analysis has been suggested by Holthausen (1981. American Economic Review, v71(1), 182), Kang et al. (1996. Journal of Economics and Business, v48, 47), and...
Paper Details
Title
Portfolio optimization in an upside potential and downside risk framework
Published Date
Jan 1, 2014
Volume
71
Pages
68 - 89
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