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Working paper
Mean-Semivariance Portfolio Optimization Using Minimum Average Partial
In: Annals of Operations Research, 2022
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A symmetric LPM model for heuristic mean–semivariance analysis
In: Journal of economics and business, Band 63, Heft 3, S. 217-236
ISSN: 0148-6195
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Working paper
Realized Semivariances and the Variation of Signed Jumps in China's Stock Market
In: Emerging markets, finance and trade: EMFT, Band 53, Heft 3, S. 563-586
ISSN: 1558-0938
Semivariance below the maximum: Assessing the performance of economic and financial prospects
In: Journal of Economic Behavior and Organization, Vol. 209, May 2023, Pages 185-199
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Working paper
Portfolio selection based on semivariance and distance correlation under minimum variance framework
In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 73, Heft 3, S. 373-394
ISSN: 1467-9574
In the minimum variance model, the covariance matrix plays an important role because it measures the risk and relationship of asset returns simultaneously under the normality assumption. However, in practice, the distribution of asset returns is nonnormal and has an obvious fat‐tail nature. In addition, the risk is one‐sided. In this paper, the main objective is to propose a better tool to replace the covariance matrix. The covariance matrix can be decomposed into two parts: a diagonal variance matrix and a square matrix with its elements being the Pearson correlation coefficient. A substitution of the covariance matrix is presented by replacing the variance and Pearson correlation coefficient in the decomposition of the covariance matrix with a semivariance and distance correlation coefficient, respectively. The proposed portfolio optimization strategy is applied to empirical data, and the numerical studies show the strategy performs well.
Mean-Semivariance Portfolio Optimization with Multiobjective Evolutionary Algorithms and Technical Analysis Rules
In: Expert Systems with Applications, Band 79, Heft August 2017
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MEAN‐VARIANCE, MEAN‐SEMIVARIANCE, AND DCF ESTIMATES OF A PUBLIC UTILITY'S COST OF EQUITY*
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 2, Heft 1, S. 13-26
ISSN: 1475-6803
On the Inclusion of Hay in Ontario's Gross Revenue Insurance Plan: A Target Semivariance Approach
In: Review of agricultural economics: RAE, Band 16, Heft 2, S. 321
ISSN: 1467-9353
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Working paper
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers
In: CESifo Working Paper Series No. 5305
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Working paper
Asymmetric Connectedness of Stocks: How Does Bad and Good Volatility Spill over the U.S. Stock Market?
In: Journal of Financial Markets, Band 26
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Working paper