Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization
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- Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2016. "Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization," Working Papers hal-01299566, HAL.
References listed on IDEAS
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Post-Print
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- 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.
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- 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.
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Cited by:
- 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.
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More about this item
Keywords
Conditional Semivariance; DownSide Risk; Conditional Variance; Kernel Method; Nonparametric Mean prediction;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-12-11 (Risk Management)
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