Different downside risk approaches in portfolio optimisation

Variance is commonly used as risk measure in portfolio optimisation to find the trade-off between the risk and return. Investors wish to minimise the risk at the given level of return.However, the mean-variance model has been criticised because of its limitations. The meanvariance model strictly re...

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Bibliographic Details
Main Authors: Saiful Hafizah Hj. Jaaman,, Weng, Hoe Lam, Zaidi Isa,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2011
Online Access:http://journalarticle.ukm.my/2892/1/jqma-7-1-07-saiful.pdf
http://journalarticle.ukm.my/2892/
http://www.ukm.my/~ppsmfst/jqma
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