Statistical properties of the sample semi-variance
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DOI: 10.1080/1350486022000015850
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- Stephen Satchell, 1996. "Lower Partial Capital Asset Pricing Models: A Re-examination," Archive Working Papers 020, Birkbeck, Department of Economics, Mathematics & Statistics.
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- Alexandrino Tavares Barreto, 2018. "The Contribution of African Capital Markets in the Diversification of European Investment Portfolios," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(3), pages 1-29, March.
- Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
- Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
- Enrique Ballestero, 2005. "Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 1-15.
- Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
- Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
- Stephen E. Satchell & Shaun A. Bond, 2004. "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings 160, Econometric Society.
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Keywords
Downside Risk; Semi-VARIANCE; Stochastic Dominance; Risk Measures; Emerging; Markets;All these keywords.
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