Search Results - subject:"Semi‐variance"

Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

Kaucic, Massimiliano; Moradi, Mojtaba; Mirzazadeh, Mohmmad - In: Financial Innovation 5 (2019) 1, pp. 1-28

In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional …

Persistent link: https://www.econbiz.de/10012602817

Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

Kaucic, Massimiliano; Moradi, Mojtaba; Mirzazadeh, Mohmmad - In: Financial innovation : FIN 5 (2019) 26, pp. 1-28

In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional …

Persistent link: https://www.econbiz.de/10012266717

Stock market return predictability revisited : evidence from a new index constructing the oil market

Chen, Wang; Chevallier, Julien; Wang, Jiqian; Zhong, Juandan - In: Finance research letters 49 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013478846

Portfolios under different methods and scenarios : a case of Fiji's South Pacific stock exchange

Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-27

develop portfolios under different scenarios. We consider the mean-variance, minimum variance, semi-variance, utility …. In a semi-variance analysis (where we account for downside risk only), equally weighted portfolio yields superior returns … optimized portfolio under mean-variance, semi-variance, and utility are presented as alternative considerations for nuanced …

Persistent link: https://www.econbiz.de/10014284441

Volatility modeling and asset pricing: Extension of GARCH model with macro economic variables, value-at- risk and semi-variance for KSE

Hamid, Kashif; Hasan, Arshad - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 10 (2016) 3, pp. 569-587

, value at risk and semi-variance in GARCH specification. Daily data is used for stock returns for the period of Jan 2000 to … related to the returns of KSE market in GARCH specifications. Moreover GARCH (1,1) Model is extended with the Semi-variance … for KSE. It is concluded that semi-variance is significant and indicates that downside risk has negative impact. In last …

Persistent link: https://www.econbiz.de/10011938526

Volatility modeling and asset pricing : extension of GARCH model with macro economic variables, value-at- risk and semi-variance for KSE

Hamid, Kashif; Hasan, Arshad - In: Pakistan journal of commerce and social sciences 10 (2016) 3, pp. 569-587

Persistent link: https://www.econbiz.de/10011929454

Portfolio construction by using different risk models: a comparison among diverse economic scenarios

Hunjra, Ahmed Imran; Alawi, Suha Mahmoud; Colombage, Sisira - In: Risks 8 (2020) 4, pp. 1-23

their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean …

Persistent link: https://www.econbiz.de/10013200659

Portfolio construction by using different risk models: a comparison among diverse economic scenarios

Hunjra, Ahmed Imran; Alawi, Suha Mahmoud; Colombage, Sisira - In: Risks : open access journal 8 (2020) 4/126, pp. 1-23

their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean …

Persistent link: https://www.econbiz.de/10012390956

An innovative super-efficiency data envelopment analysis, semi-variance, and Shannon-entropy-based methodology for player selection : evidence from cricket

Adhikari, Arnab; Majumdar, Adrija; Gupta, Gaurav; Bisi, … - 2020

Persistent link: https://www.econbiz.de/10012165379

Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum

Post, Thierry; Kopa, Miloš - 2015

benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance …

Persistent link: https://www.econbiz.de/10011696295