Computing Mean/Downside Risk Frontiers: The Role of Ellipticity

Antony D. Hall () and Steve E. Satchell ()
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Antony D. Hall: School of Finance and Economics
Steve E. Satchell: Faculty of Economics

A chapter in Handbook of Financial Engineering, 2008, pp 49-66 from Springer

Keywords: Risk Measure; Portfolio Return; Downside Risk; Short Selling; Portfolio Weight (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-0-387-76682-9_3

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DOI: 10.1007/978-0-387-76682-9_3

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