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A statistically optimal estimator of semivariance - MaRDI portal

A statistically optimal estimator of semivariance

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Publication:2367372

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DOI10.1016/0377-2217(93)90067-WzbMath0771.62084MaRDI QIDQ2367372

Norman Josephy, Amir D. Aczel

Publication date: 23 August 1993

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

portfolio analysis risk measurement consistent semivariance asymptotically unbiased computationally efficient

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Forecasting the volatility of crude oil futures using intraday data ⋮ Statistical properties of the sample semi-variance

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