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- W2752390923 abstract "This paper studies the aggregation of a downside risk measure introduced by Fishburn (1977). Properties of aggregated downside risk are examined and compared to classical risk measures such as standard deviation and value-at-risk. The notion of downside-efficient portfolios that maximize the expected payoff given a prescribed upper bound for downside risk is introduced. A separation theorem for the existence and uniqueness of portfolios that maximize the trade-off between downside risk and return is established." @default.
- W2752390923 created "2017-09-15" @default.
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- W2752390923 date "2017-01-01" @default.
- W2752390923 modified "2023-09-27" @default.
- W2752390923 title "Aggregation of Downside Risk and Portfolio Selection" @default.
- W2752390923 doi "https://doi.org/10.2139/ssrn.3004720" @default.
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