Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier

DOI10.1007/s10479-016-2235-zzbMath1416.91341OpenAlexW2188264640MaRDI QIDQ1615819

Hanene Ben Salah, Mohamed Chaouch, Christian de Peretti, Abdelwahed Trabelsi, Ali Gannoun

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2235-z

zbMATH Keywords

kernel methoddownside risksemi-variancemean nonparametric estimationmedian nonparametric estimationportfolio efficient frontier

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Portfolio theory (91G10)

Related Items (3)

Neurodynamics-driven portfolio optimization with targeted performance criteria ⋮ Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment ⋮ Two nonparametric approaches to mean absolute deviation portfolio selection model

Cites Work

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• On The ConditionalL₁-median and its estimation
• Median regression using nonparametric kernel estimation

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