Search Results - subject:"risk function"

Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model

Feinstein, Charles D.; Thapa, Mukund N. - In: Management Science 39 (1993) 12, pp. 1552-1553

The purpose of this note is to present a reformulation of the model presented by Konno and Yamazaki (1991). In their paper, it was claimed that (under the assumption that there is no upper limit on the investment in an asset) the number of nonzero assets in the optimal portfolio is at most 2T +...

Persistent link: https://www.econbiz.de/10009214560

Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market

Konno, Hiroshi; Yamazaki, Hiroaki - In: Management Science 37 (1991) 5, pp. 519-531

absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while …

Persistent link: https://www.econbiz.de/10009191829

Bootstrap choice of tuning parameters

Léger, Christian; Romano, Joseph - In: Annals of the Institute of Statistical Mathematics 42 (1990) 4, pp. 709-735

Persistent link: https://www.econbiz.de/10005395836

Information amount and higher-order efficiency in estimation

Hosoya, Yuzo - In: Annals of the Institute of Statistical Mathematics 42 (1990) 1, pp. 37-49

Persistent link: https://www.econbiz.de/10005760236