Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier

DOI10.1007/s10479-016-2235-zzbMath1416.91341OpenAlexW2188264640MaRDI QIDQ1615819

Hanene Ben Salah, Mohamed Chaouch, Christian de Peretti, Abdelwahed Trabelsi, Ali Gannoun

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2235-z

zbMATH Keywords

kernel methoddownside risksemi-variancemean nonparametric estimationmedian nonparametric estimationportfolio efficient frontier

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Portfolio theory (91G10)

Related Items

Neurodynamics-driven portfolio optimization with targeted performance criteria, Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment, Two nonparametric approaches to mean absolute deviation portfolio selection model

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