Portfolio selection based on semivariance and distance correlation under minimum variance framework (Q6067644): Difference between revisions

Latest revision as of 14:42, 21 August 2024

scientific article; zbMATH DE number 7778401

Language	Label	Description	Also known as
English	Portfolio selection based on semivariance and distance correlation under minimum variance framework	scientific article; zbMATH DE number 7778401

Statements

instance of

scholarly article

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title

Portfolio selection based on semivariance and distance correlation under minimum variance framework (English)

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Statistica Neerlandica

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publication date

14 December 2023

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zbMATH Keywords

distance correlation

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downside risk

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fat-tail

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portfolio optimization

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semivariance

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/stan.12174

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cites work

A new class of models for heavy tailed distributions in finance and insurance risk

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Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection

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High dimensional dynamic stochastic copula models

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Distance correlation coefficients for Lancaster distributions

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Mean-semivariance models for fuzzy portfolio selection

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Portfolio optimization with a copula-based extension of conditional value-at-risk

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A Bayesian information criterion for portfolio selection

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On dependence consistency of CoVaRand some other systemic risk measures

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Distance correlation detecting Lyapunov instabilities, noise-induced escape times and mixing

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Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs

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Q2724706

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Safety First and the Holding of Assets

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Efficient risk simulations for linear asset portfolios in the \(t\)-copula model

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Q3281461

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The distance correlation \(t\)-test of independence in high dimension

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Measuring and testing dependence by correlation of distances

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A Student t-mixture autoregressive model with applications to heavy-tailed financial data

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An iterative approach to distance correlation-based sure independence screening

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Measuring nonlinear dependence in time-series, a distance correlation approach

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Identifiers

DOI

10.1111/stan.12174

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6067644

@@ Property / full work available at URL @@
+https://doi.org/10.1111/stan.12174
+Normal rank
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+W2924669711
@@ Property / OpenAlex ID: W2924669711 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q128169568
@@ Property / Wikidata QID: Q128169568 / rank @@
+Normal rank
@@ Property / cites work @@
+A new class of models for heavy tailed distributions in finance and insurance risk
+Normal rank
@@ Property / cites work @@
+Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
+Normal rank
@@ Property / cites work @@
+High dimensional dynamic stochastic copula models
@@ Property / cites work: High dimensional dynamic stochastic copula models / rank @@
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Distance correlation coefficients for Lancaster distributions
+Normal rank
@@ Property / cites work @@
+Mean-semivariance models for fuzzy portfolio selection
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a copula-based extension of conditional value-at-risk
+Normal rank
@@ Property / cites work @@
+A Bayesian information criterion for portfolio selection
+Normal rank
@@ Property / cites work @@
+On dependence consistency of CoVaRand some other systemic risk measures
+Normal rank
@@ Property / cites work @@
+Distance correlation detecting Lyapunov instabilities, noise-induced escape times and mixing
+Normal rank
@@ Property / cites work @@
+Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
+Normal rank
@@ Property / cites work @@
+The distance correlation \(t\)-test of independence in high dimension
+Normal rank
@@ Property / cites work @@
+Measuring and testing dependence by correlation of distances
+Normal rank
@@ Property / cites work @@
+A Student t-mixture autoregressive model with applications to heavy-tailed financial data
+Normal rank
@@ Property / cites work @@
+An iterative approach to distance correlation-based sure independence screening
+Normal rank
@@ Property / cites work @@
+Measuring nonlinear dependence in time-series, a distance correlation approach
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6067644