Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144026 | Systems Engineering Procedia | 2012 | 5 Pages |
Abstract
In this paper we consider a portfolio optimization problem on maximizing the geometric mean return subject to the lower semivariance as a risk measure in the financial engineering. Its optimal condition and the solving method via the Monte Carlo simulation are given, and a numerical experiment is presented in order to show that the method is efficient.
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