Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7626
Type: Artigo
Title: An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
Authors: Pinheiro, Carlos Alberto Orge
Matsumoto, Alberto Shigueru
Tabak, Benjamin Miranda
Abstract: This paper applies the Mean-Semi-variance approach to asset allocation and compares solutions obtained by this model to those derived from the traditional mean-variance model. The results indicate that the risk adjusted return solutions given by the Mean- Semi-variance over perform those from portfolios in the traditional mean-variance model.
Keywords: portfolio management
Markowitz
downside risk
Citation: PINHEIRO, Carlos Alberto Orge. ; MATSUMOTO, Alberto Shigueru ; TABAK, Benjamin Miranda. An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil. Journal of International Finance and Economics, v. 8, p. 132-135, 2008.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/629
https://repositorio.ucb.br:9443/jspui/handle/123456789/7626
Document date: Nov-2008
Appears in Collections:PPG - Revistas e Artigos Científicos



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