Dynamic investment models with downside risk control
Mean-variance analysis has been broadly used in the theory and practice of portfolio management. However, the continuous analogy is not fully studied either academically or in practice. This thesis provides a similar efficient frontier to Markowitz (1952) and a general solution using martingale meth...
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| Format: | Others |
| Language: | English |
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2009
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| Online Access: | http://hdl.handle.net/2429/13517 |