Search Results - subject:"semi‑variance"

An application of portfolio mean-variance and semi-variance optimization techniques: A case of Fiji

Kumar, Ronald Ravinesh; Stauvermann, Peter; Samitas, … - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-25

In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as … and maximum portfolios in terms of risk. Moreover, we find that both the mean-variance and the semi-variance measures of … relatively higher returns and risks using the mean-variance than the semi-variance approach. The low beta of individual stock …

Persistent link: https://www.econbiz.de/10014332391

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 15 (2022) 12, pp. 1-27

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

Persistent link: https://www.econbiz.de/10014332705

A generalized heterogeneous autoregressive model using market information

Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534

Persistent link: https://www.econbiz.de/10013367925

An application of portfolio mean-variance and semi-variance optimization techniques : a case of Fiji

Kumar, Ronald Ravinesh; Stauvermann, Peter; Samitas, … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-25

In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as … maximum portfolios in terms of risk. Moreover, we find that both the mean-variance and the semi-variance measures of risk … relatively higher returns and risks using the mean-variance than the semi-variance approach. The low beta of individual stock …

Persistent link: https://www.econbiz.de/10013273118

Multi-factorized semi-covariance of stock markets and gold price

Shi, Yun; Yang, Lin; Huang, Mei; Huang, Jun Steed - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-11

stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance …

Persistent link: https://www.econbiz.de/10012611729

Multi-factorized semi-covariance of stock markets and gold price

Shi, Yun; Yang, Lin; Huang, Mei; Huang, Jun Steed - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-11

stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance …

Persistent link: https://www.econbiz.de/10012520959

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

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