Mean-semivariance portfolio optimization using minimum average partial

DOI10.1007/S10479-022-04736-XMaRDI QIDQ6547044zbMATH OpenFDO

Authors Andrea Rigamonti, Katarína Lučivjanská

Publication date 30 May 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-04736-X

zbMATH Keywords

downside riskminimum average partialparameter uncertaintyportfolio optimizationprincipal component analysissemivariance

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Portfolio theory (91G10)

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Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A heuristic for moment-matching scenario generation
• A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
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• Computing efficient frontiers using estimated parameters
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Determining the number of components from the matrix of partial correlations
• Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
• Factor analysis
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
• Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
• Omega-CVaR portfolio optimization and its worst case analysis
• PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
• Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
• Portfolio optimization with optimal expected utility risk measures
• Principal component analysis: a review and recent developments
• Risk minimization in multi-factor portfolios: what is the best strategy?
• Some necessary conditions for common-factor analysis

Cited in

(1)

• Sectoral portfolio optimization by judicious selection of financial ratios via PCA

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