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

All`egre et al.’s (2010) so-called ‘electrokinetic residual saturation’ is a result of the misinterpretation of the data as contributions that are not of electrokinetic origin are

Three-dimensional statistical shape analysis seems to be a good tool for differentiating the renal tumors appearing in early childhood. Wilms tumors can be clearly differentiated

For the portfolios constructed using the FTSE 100 index data (portfolios of individual securities), a large number of our sparse portfolios, among the

Detection of signif- icant motifs [7] may be based on two different approaches: either by comparing the observed network with appropriately randomized networks (this requires

Keywords: Conditional Semivariance, Conditional Variance, DownSide Risk, Kernel Method, Nonparametric Mean

Finally, we compare the Sharpe ratios obtained by the standard mean-variance allocation and the penalized one for four dif- ferent reference portfolios: equal-weights,

Una delle motivazioni di questo rifiuto, addotta a più riprese, è che gli accordi internazionali stipulati con i paesi interessati del Nordafrica non consentono di

to isolate a basket with optimal mean reversion from a multivariate sample path of an asset process, while constraining the variance (or signal strength) of the resulting basket to