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International Journal of Portfolio Analysis and Management

 

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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.