Nonparametric mean-lower partial moment model and enhanced index investment

DOI10.1016/J.COR.2022.105814OpenAlexW4224984010MaRDI QIDQ2147100FDOQ2147100

Haixiang Yao, Jinbo Huang, Yong Li

Publication date: 22 June 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2022.105814

zbMATH Keywords

portfolio optimizationnonparametric kernel estimationlower partial momentenhanced index model

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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• Title not available (Why is that?)
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Cited In (1)

• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns

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