Abstract
An overly trendy title for a paper that shows how computer facilities now available can carry out improvements to Markowitz theory he himself had suggested. Especially features measuring risk by only downward deviations from expected returns and getting away from the normal distribution assumptions.
Volume
1
Page
349-364
Year
1994
Categories
Actuarial Applications and Methodologies
Investments
Portfolio Strategy
Financial and Statistical Methods
Loss Distributions
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
AFIR Colloquium