Towards dynamical Portfolio allocation Selections
Download full text from publisher
References listed on IDEAS
- Arditti, Fred D., 1971. "Another Look at Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(03), pages 909-912, June.
- Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Javier Estrada, 2004. "Mean-Semivariance Behaviour: An Alternative Behavioural Model," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 231-248, December.
- Moshe Levy & Richard Roll, 2010. "The Market Portfolio May Be Mean/Variance Efficient After All," Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2464-2491, June.
More about this item
KeywordsDownSide Risk; Nonparametric Mean prediction; Conditional Variance; Conditional Semivariance; Kernel Method;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-10-23 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-01299566. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .