期刊论文

Wen, Fenghua

英文

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

1547-5816

2020

16

5

2283-2303

10.3934/jimo.2019054

Acknowledgments. We are grateful to the anonymous referees and editor for their useful comments, which have made the paper clearer and more comprehensive than the earlier version. This work was supported by the NSF of China granted (71771030, 11301041, 71873146, 71671018), Scientific Research Fund of Hunan Provincial Education Department(16B005).

本校为第一机构

In this paper, we apply two nonparametric approaches to mean absolute deviation (MAD) portfolio selection model. The first one is to use the nonparametric kernel mean estimation to replace the returns of assets with five different kernel functions. Then, we construct the nonparametric kernel mean estimation-based MAD portfolio model. The second one is to utilize the nonparametric kernel median estimation to replace the returns of assets with five different kernel functions. Then, we construct the nonparametric kernel median estimation-based MAD...