Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier.
Hanene Ben SalahMohamed ChaouchAli GannounChristian de PerettiAbdelwahed TrabelsiPublished in: Ann. Oper. Res. (2018)
Keyphrases
- nonparametric estimation
- portfolio management
- sharpe ratio
- portfolio optimization
- decision making
- risk management
- investment decisions
- portfolio theory
- portfolio selection
- risk assessment
- market data
- probability density
- investment strategies
- efficient frontier
- asset allocation
- optimal portfolio
- probability density function
- trading strategies
- var model
- data points
- bayesian networks