- -

Portfolio optimization based on downside risk: a mean-semivariance ef¿cient frontier from Dow Jones blue chips

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by

Statistics

Portfolio optimization based on downside risk: a mean-semivariance ef¿cient frontier from Dow Jones blue chips

Show full item record

Pla Santamaría, D.; Bravo Selles, M. (2013). Portfolio optimization based on downside risk: a mean-semivariance ef¿cient frontier from Dow Jones blue chips. Annals of Operations Research. 205(1):189-201. doi:10.1007/s10479-012-1243-x

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/37842

Files in this item

Item Metadata

Title: Portfolio optimization based on downside risk: a mean-semivariance ef¿cient frontier from Dow Jones blue chips
Author: Pla Santamaría, David Bravo Sellés, Milagros
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Universitat Politècnica de València. Escuela Politécnica Superior de Alcoy - Escola Politècnica Superior d'Alcoi
Issued date:
Abstract:
To create efficient funds appealing to a sector of bank clients, the objective of minimizing downside risk is relevant to managers of funds offered by the banks. In this paper, a case focusing on this objective is developed. ...[+]
Copyrigths: Reserva de todos los derechos
Source:
Annals of Operations Research. (issn: 0254-5330 )
DOI: 10.1007/s10479-012-1243-x
Publisher:
Springer Verlag (Germany)
Publisher version: http://link.springer.com/content/pdf/10.1007%2Fs10479-012-1243-x.pdf
Type: Artículo

References

Aouni, B. (2009). Multi-attribute portfolio selection: new perspectives. INFOR. Information Systems and Operational Research, 47(1), 1–4.

Arenas, M., Bilbao, A., & Rodríguez, M. V. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133, 287–297.

Arrow, K. J. (1965). Aspects of the theory of risk-bearing. Helsinki: Academic Bookstore. [+]
Aouni, B. (2009). Multi-attribute portfolio selection: new perspectives. INFOR. Information Systems and Operational Research, 47(1), 1–4.

Arenas, M., Bilbao, A., & Rodríguez, M. V. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133, 287–297.

Arrow, K. J. (1965). Aspects of the theory of risk-bearing. Helsinki: Academic Bookstore.

Ballestero, E. (2005). Mean-semivariance efficient frontier: a downside risk model for portfolio selection. Applied Mathematical Finance, 12(1), 1–15.

Ballestero, E., & Pla-Santamaria, D. (2004). Selecting portfolios for mutual funds. Omega, 32, 385–394.

Ballestero, E., & Pla-Santamaria, D. (2005). Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study. Applied Economics, 37, 2147–2160.

Ballestero, E., Pérez-Gladish, B., Arenas-Parra, M., & Bilbao-Terol, A. (2009). Selecting portfolios given multiple Eurostoxx-based uncertainty scenarios: a stochastic goal programming approach from fuzzy betas. INFOR. Information Systems and Operational Research, 47(1), 59–70.

Ben Abdelaziz, F., & Masri, H. (2005). Stochastic programming with fuzzy linear partial information on time series. European Journal of Operational Research, 162(3), 619–629.

Ben Abdelaziz, F., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811–1823.

Bermúdez, J. D., Segura, J. V., & Vercher, E. (2012). A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection. Fuzzy Sets and Systems, 188, 16–26.

Bilbao, A., Arenas, M., Jiménez, M., Pérez- Gladish, B., & Rodríguez, M. V. (2006). An extension of Sharpe’s single-index model: portfolio selection with expert betas. Journal of the Operational Research Society, 57(12), 1442–1451.

Chang, T. J., Yang, S. Ch., & Chang, K. J. (2009). Portfolio optimization problems in different risk measures using genetic algorithm. IEEE Intelligent Systems & Their Applications, 36, 10529–10537.

Haugen, R. A. (1997). Modern investment theory. Upper Saddle River: Prentice-Hall.

Huang, H. J., Tzeng, G. H., & Ong, C. S. (2006). A novel algorithm for uncertain portfolio selection. Applied Mathematics and Computation, 173(1), 350–359.

Konno, H., Waki, H., & Yuuki, A. (2002). Portfolio optimization under lower partial risk measures. Asia-Pacific Financial Markets, 9, 127–140.

Lin, C. M., Huang, J. J., Gen, M., & Tzeng, G. H. (2006). Recurrent neural network for dynamic portfolio selection. Applied Mathematics and Computation, 175(2), 1139–1146.

Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.

Ong, C. S., Huang, J. J., & Tzeng, G. H. (2005). A novel hybrid model for portfolio selection. Applied Mathematics and Computation, 169(2), 1195–1210.

Pendaraki, K., Doumpos, M., & Zopounidis, C. (2004). Towards a goal programming methodology for constructing equity mutual fund portfolios. Journal of Asset Management, 4(6), 415–428.

Pérez-Gladish, B., Jones, D. F., Tamiz, M., & Bilbao-Terol, A. (2007). An interactive three-stage model for mutual funds portfolio selection. Omega, 35(1), 75–88.

Pratt, J. W. (1964). Risk aversion in the small and in the large. Econometrica, 32(1–2), 122–136.

Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.

Sortino, F. A., & Van der Meer, V. (1991). Downside risk. The Journal of Portfolio Management, 17(4), 27–31.

Speranza, M. G. (1993). Linear programming model for portfolio optimization. Finance, 14, 107–123.

Steuer, R., Qi, Y., & Hirschberger, M. (2005). Multiple objectives in portfolio selection. Journal of Financial Decision Making, 1(1), 5–20.

Steuer, R., Qi, Y., & Hirschberger, M. (2007). Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection. Annals of Operations Research, 152, 297–317.

Vercher, E., Bermúdez, J. D., & Segura, J. V. (2007). Fuzzy portfolio optimization under downside risk measures. Fuzzy Sets and Systems, 158, 769–782.

[-]

This item appears in the following Collection(s)

Show full item record