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

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

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dc.contributor.author Pla Santamaría, David es_ES
dc.contributor.author Bravo Sellés, Milagros es_ES
dc.date.accessioned 2014-05-28T11:09:57Z
dc.date.issued 2013-05
dc.identifier.issn 0254-5330
dc.identifier.uri http://hdl.handle.net/10251/37842
dc.description.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. More precisely, the scope and purpose of the paper is to apply the mean-semivariance efficient frontier model, which is a recent approach to portfolio selection of stocks when the investor is especially interested in the constrained minimization of downside risk measured by the portfolio semivariance. Concerning the opportunity set and observation period, the mean-semivariance efficient frontier model is applied to an actual case of portfolio choice from Dow Jones stocks with daily prices observed over the period 2005¿2009. From these daily prices, time series of returns (capital gains weekly computed) are obtained as a piece of basic information. Diversification constraints are established so that each portfolio weight cannot exceed 5 per cent. The results show significant differences between the portfolios obtained by mean-semivariance efficient frontier model and those portfolios of equal expected returns obtained by classical Markowitz mean-variance efficient frontier model. Precise comparisons between them are made, leading to the conclusion that the results are consistent with the objective of reflecting downside risk es_ES
dc.language Inglés es_ES
dc.publisher Springer Verlag (Germany) es_ES
dc.relation.ispartof Annals of Operations Research es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject.classification ECONOMIA APLICADA es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Portfolio optimization based on downside risk: a mean-semivariance ef¿cient frontier from Dow Jones blue chips es_ES
dc.type Artículo es_ES
dc.embargo.lift 10000-01-01
dc.embargo.terms forever es_ES
dc.identifier.doi 10.1007/s10479-012-1243-x
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.contributor.affiliation Universitat Politècnica de València. Escuela Politécnica Superior de Alcoy - Escola Politècnica Superior d'Alcoi es_ES
dc.description.bibliographicCitation 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://link.springer.com/content/pdf/10.1007%2Fs10479-012-1243-x.pdf es_ES
dc.description.upvformatpinicio 189 es_ES
dc.description.upvformatpfin 201 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 205 es_ES
dc.description.issue 1 es_ES
dc.relation.senia 256058
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