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Mean-CVaR portfolio selection : a nonparametric estimation framework
Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng - In: Computers & operations research : and their … 40 (2013) 4, pp. 1014-1022
Persistent link: https://www.econbiz.de/10009719644
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Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Journal of economic dynamics & control 92 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
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A general approach to smooth and convex portfolio optimization using lower partial moments
Yao, Haixiang; Huang, Jinbo; Li, Yong; Humphrey, … - In: Journal of banking & finance 129 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822108
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Nonparametric mean-lower partial moment model and enhanced index investment
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Computers & operations research : and their … 144 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013264891