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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- 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.
- 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.
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- Moshe Levy & Richard Roll, 2010. "The Market Portfolio May Be Mean/Variance Efficient After All," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2464-2491, June.
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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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