Nonparametric mean-lower partial moment model and enhanced index investment

DOI10.1016/J.COR.2022.105814MaRDI QIDQ2147100zbMATH OpenOpenAlexFDO

Authors Jinbo Huang, Yong Li, Haixiang Yao

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)

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Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
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• Downside Loss Aversion and Portfolio Management
• Enhanced indexation based on second-order stochastic dominance
• Index tracking model, downside risk and non-parametric kernel estimation
• Introduction to nonlinear and global optimization
• Linear programming models based on omega ratio for the enhanced index tracking problem
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• Mean-CVaR portfolio selection: a nonparametric estimation framework
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Nonparametric econometrics. Theory and practice.
• Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
• Portfolio optimization based on stochastic dominance and empirical likelihood
• Robust portfolio selection under downside risk measures
• Robust tracking error portfolio selection with worst-case downside risk measures
• Technical Note—A General Inner Approximation Algorithm for Nonconvex Mathematical Programs

Cited in

(3)

• Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• Index tracking model, downside risk and non-parametric kernel estimation

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