Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization

Preprint English OPEN
Salah, Hanene,; Gannoun, Ali; Ribatet, Mathieu;
(2016)
  • Publisher: HAL CCSD
  • Subject: Conditional Semivariance | [QFIN]Quantitative Finance [q-fin] | Conditional Variance | Kernel Method | Nonparametric Mean prediction | DownSide Risk | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

In this paper, we consider the problem of portfolio optimization. The risk will be measured by conditional variance or semivariance. It is known that the historical returns used to estimate expected ones provide poor guides to future returns. Consequently, the optimal p... View more
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