A note on semivariance
In a recent paper (b5Jin, Yan, and Zhou 2005), it is proved that efficient strategies of the continuous-time mean-semivariance portfolio selection model are in general never achieved save for a trivial case. In this note, we show that the mean-semivariance efficient strategies in a single period are...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2006
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