Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
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Publication:2393349
DOI10.1007/S10479-012-1243-XzbMATH Open1269.91079OpenAlexW2053793462MaRDI QIDQ2393349FDOQ2393349
Mila Bravo, David Plá-Santamaría
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10251/37842
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portfolio selectiondownside riskefficient frontierssemivariancebanking management and fundsDow Jones
Cites Work
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- Fuzzy portfolio optimization under downside risk measures
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
- A fuzzy goal programming approach to portfolio selection
- Portfolio optimization under lower partial risk measures
- A novel algorithm for uncertain portfolio selection
- Stochastic programming with fuzzy linear partial information on probability distribution
- Recurrent neural network for dynamic portfolio selection
- An extension of Sharpe's single-index model: portfolio selection with expert betas
- A novel hybrid model for portfolio selection
- Title not available (Why is that?)
Cited In (14)
- A multi-objective approach to the cash management problem
- Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
- A note on a mean-lower partial moment CAPM without risk-free asset
- Risk-averse dynamic pricing using mean-semivariance optimization
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
- Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
- A nonlinear interval portfolio selection model and its application in banks
- Photovoltaic power plants: a multicriteria approach to investment decisions and a case study in western Spain
- Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
- Validating Downside Accounting Beta: Evidence from the Polish Construction Industry
- Title not available (Why is that?)
- Mean-semivariance portfolio optimization using minimum average partial
- A NOTE ON SEMIVARIANCE
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