Portfolio Optimisation with Semivariance


In this talk, I shall study dynamic portfolio management using semivariance as a portfolio risk measure. In the literature, mean-semivariance optimisation under the Black-Scholes model has been shown to be no optimal solution.... [ view full abstract ]


  1. Kwok Chuen Wong (Dublin City University)
  2. Paolo Guasoni (Dublin City University)

Topic Areas

Asset Allocation , Optimal Investment , Risk Measures


TU-A-B1 » Mean-Risk Asset Allocation (11:30 - Tuesday, 17th July, Beckett 1)

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