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A simple approximation for semivariance

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  • Choobineh, F.
  • Branting, D.

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  • Choobineh, F. & Branting, D., 1986. "A simple approximation for semivariance," European Journal of Operational Research, Elsevier, vol. 27(3), pages 364-370, December.
    • Handle: RePEc:eee:ejores:v:27:y:1986:i:3:p:364-370
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    Cited by:

    1. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
    2. Lai K. Chan & Heng J. Cui, 2003. "Skewness correction X̄ and R charts for skewed distributions," Naval Research Logistics (NRL), John Wiley & Sons, vol. 50(6), pages 555-573, September.
    3. DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value‐at‐Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long‐Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 1-19, March.
    4. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    5. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
    6. 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.
    7. Degiannakis, Stavros, 2017. "The one-trading-day-ahead forecast errors of intra-day realized volatility," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1298-1314.
    8. repec:ipg:wpaper:2014-053 is not listed on IDEAS
    9. Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
    10. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    11. Gumsong Jo & Hyokil Kim & Hoyong Kim & Gyongho Ri, 2024. "Fuzzy Portfolio Selection Using Stochastic Correlation," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1493-1509, April.
    12. Gorgin Vahideh & Sadeghpour Gildeh Bahram, 2020. "MAD Control Chart for Autoregressive Models with Skew-Normal Distribution," Stochastics and Quality Control, De Gruyter, vol. 35(1), pages 17-23, June.

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