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A statistically optimal estimator of semivariance

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  • Josephy, Norman H.
  • Aczel, Amir D.

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  • Josephy, Norman H. & Aczel, Amir D., 1993. "A statistically optimal estimator of semivariance," European Journal of Operational Research, Elsevier, vol. 67(2), pages 267-271, June.
    • Handle: RePEc:eee:ejores:v:67:y:1993:i:2:p:267-271
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    Cited by:

    1. 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.
    2. 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.
    3. Sefair, Jorge A. & Méndez, Carlos Y. & Babat, Onur & Medaglia, Andrés L. & Zuluaga, Luis F., 2017. "Linear solution schemes for Mean-SemiVariance Project portfolio selection problems: An application in the oil and gas industry," Omega, Elsevier, vol. 68(C), pages 39-48.
    4. 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.
    5. repec:ipg:wpaper:2014-053 is not listed on IDEAS
    6. 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.

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