A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier
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DOI: 10.1504/IJPAM.2018.092642
Note: View the original document on HAL open archive server: https://hal.science/hal-01299561
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- Christian de Peretti, 2015. "A New Approach in Nonparametric Estimation of Returns in Mean-Downside Risk Portfolio frontier," Post-Print hal-02095499, HAL.
References listed on IDEAS
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"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.
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Cited by:
- Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2016.
"Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization,"
Working Papers
hal-01404752, HAL.
- Hanene Ben Salah & Ali Gannoun & Mathieu Ribatet, 2016. "Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization," Working Papers hal-01299566, HAL.
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More about this item
Keywords
Nonparametric Mean Estimation; Nonparametric Median Estimation; Semivariance; DownSide Risk; Kernel Method;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2019-03-25 (Risk Management)
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