Forthcoming articles


International Journal of Portfolio Analysis and Management


These articles have been peer-reviewed and accepted for publication in IJPAM, but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.


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International Journal of Portfolio Analysis and Management (1 paper in press)


Regular Issues


  • A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier   Order a copy of this article
    by Ali Gannoun, Hanene Ben Salah, Mathieu Ribatet 
    Abstract: The DownSide Risk (DSR) model for portfolio optimization allows to overcome the drawbacks of the classical Mean-Variance model concerning the asymmetry of returns and the risk perception of investors. This optimization model deals with a positive definite matrix that is endogenous with respect to the portfolio weights and hence yields to a non standard optimization problem. In this paper we develop a new method and algorithm to resolve the optimization problem and to get a smoother portfolio frontier. This method is based on nonparametric estimation, using kernel methods, of mean and median. The proposed approach is applied on the French and Brazilian stock markets.
    Keywords: DownSide Risk; Kernel Method; Nonparametric Estimation; Semivariance; Portfolio allocation.