Mean-Semivariance Behaviour: An Alternative Behavioural Model
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DOI: 10.1177/097265270400300301
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Cited by:
- Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
- Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian Peretti & Abdelwahed Trabelsi, 2018.
"Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier,"
Annals of Operations Research,
Springer, vol. 262(2), pages 653-681, March.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian De Peretti & Abdelwahed Trabelsi, 2016. "Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier," Working Papers hal-01300673, HAL.
- Hanen Ben Salah & Jan G. Gooijer & Ali Gannoun & Mathieu Ribatet, 2018. "Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 419-436, November.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Christian de Peretti, 2015.
"A New Approach in Nonparametric Estimation of Returns in Mean-Downside Risk Portfolio frontier,"
Post-Print
hal-02095499, HAL.
- Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2018. "A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier," Post-Print hal-01299561, HAL.
- Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2016.
"Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization,"
Working Papers
hal-01404752, HAL.
- Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2016. "Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization," Working Papers hal-01299566, HAL.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian Peretti & Abdelwahed Trabelsi, 2018.
"Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier,"
Annals of Operations Research, Springer, vol. 262(2), pages 653-681, March.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian de Peretti & Abdelwahed Trabelsi, 2018. "Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier," Post-Print hal-01300673, HAL.
- Hanene Ben Salah & Ali Gannoun & Christian De Peretti & Mathieu Ribatet & Abdelwahed Trabelsi, 2016. "A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier," Working Papers hal-01299561, HAL.
- Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
- Philip A. Horvath & Amit K. Sinha, 2017. "Asymmetric reaction is rational behavior," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 160-179, January.
- Javier Estrada, 2009. "The Gain‐Loss Spread: A New and Intuitive Measure of Risk," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(4), pages 104-114, September.
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Keywords
Mean-variance behaviour; semivariance; downside risk;All these keywords.
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