Decision Sciences
8 years ago

Optimize risk diversification in portfolios for maximum returns with new method

Economics and Business Review/˜The œPoznań University of Economics Review
Diversification of risk of a fundamental portfolio based on semi-variance
Anna Rutkowska-Ziarko, Przemysław Garsztka

Paper Summary

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The article explores a way to reduce risk in a portfolio by using semi-variance instead of variance. The researchers developed an algorithm to help diversify risk in a fundamental portfolio while minimizing semi-variance. They tested this algorithm on different starting portfolios and found it to be effective in achieving optimal solutions.