A Note on the E, SL Portfolio Selection Model
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- Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian Peretti & Abdelwahed Trabelsi, 2018.
"Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier,"
Annals of Operations Research,
Springer, vol. 262(2), pages 653-681, March.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian De Peretti & Abdelwahed Trabelsi, 2016. "Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier," Working Papers hal-01300673, HAL.
- Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
- Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
- Zhangxin (Frank) Liu & Michael J. O'Neill, 2018. "Partial moment volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 195-215, March.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian Peretti & Abdelwahed Trabelsi, 2018.
"Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier,"
Annals of Operations Research, Springer, vol. 262(2), pages 653-681, March.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian de Peretti & Abdelwahed Trabelsi, 2018. "Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier," Post-Print hal-01300673, HAL.
- Hanene Ben Salah & Ali Gannoun & Christian De Peretti & Mathieu Ribatet & Abdelwahed Trabelsi, 2016. "A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier," Working Papers hal-01299561, HAL.
- Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.
- Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
- Christian de Peretti, 2015.
"A New Approach in Nonparametric Estimation of Returns in Mean-Downside Risk Portfolio frontier,"
Post-Print
hal-02095499, HAL.
- 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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