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      Robust scenario optimization based on downside-risk measure for multi-period portfolio selection 

      Pınar, M. Ç. (Springer, 2007)
      We develop and test multistage portfolio selection models maximizing expected end-of-horizon wealth while minimizing one-sided deviation from a target wealth level. The trade-off between two objectives is controlled by ...

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      AuthorPınar, M. Ç. (1)Keywords
      Discrete scenario tree (1)
      Downside risk (1)
      Finance (1)
      Multi-period portfolio selection (1)
      Risk (1)
      Stochastic programming (1)... View MoreDate Issued2007 (1)Type
      Review (1)
      Has File(s)Yes (1)

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