Results 71 to 80 of about 1,341,862 (199)

Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange

Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen, 2019
This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE).
Imroz Mahmud
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High dimensional single index models

Journal of Multivariate Analysis, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimation for single-index and partially linear single-index integrated models

The Annals of Statistics, 2016
Published at http://dx.doi.org/10.1214/15-AOS1372 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Dong, Chaohua, Gao, Jiti, Tjøstheim, Dag   +2 more
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Asymptotic Normality of Conditional Density and Conditional Mode in the Functional Single Index Model

Ekonometria, 2021
The main objective of this paper is to investigate the nonparametric estimation of the conditional density of a scalar response variable Y, given the explanatory variable X taking value in a Hilbert space when the sample of observations is considered as ...
Fatima Akkal, Nadia Kadiri, Abbes Rabhi
doaj  

Estimation for a partial-linear single-index model

The Annals of Statistics, 2010
In this paper, we study the estimation for a partial-linear single-index model. A two-stage estimation procedure is proposed to estimate the link function for the single index and the parameters in the single index, as well as the parameters in the linear component of the model. Asymptotic normality is established for both parametric components.
Wang, Jane-Ling, Xue, Liugen, Zhu, Lixing, Chong, Yun Sam   +3 more
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Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects [PDF]

In this paper, we consider semiparametric estimation in a partially linear single-index panel data model with fixed effects. Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on ...
Jia Chen, Jiti Gao, Degui Li
core  

Cross-Validated Functional Generalized Partially Linear Single-Functional Index Model

Mathematics
In this paper, we have introduced a functional approach for approximating nonparametric functions and coefficients in the presence of multivariate and functional predictors. By utilizing the Fisher scoring algorithm and the cross-validation technique, we
Mustapha Rachdi, Mohamed Alahiane, Idir Ouassou, Abdelaziz Alahiane, Lahoucine Hobbad   +4 more
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Semiparametric models with single-index nuisance parameters [PDF]

Journal of Econometrics, 2014
In many semiparametric models, the parameter of interest is identified through conditional expectations, where the conditioning variable involves a single-index that is estimated in the first step. Among the examples are sample selection models and propensity score matching estimators.
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ANALYSIS OF PORTFOLIO FORMATION ON THE LQ45 STOCKS INDEX, USING THE MARKOWITZ AND SINGLE INDEX MODELS

Barekeng
In an investment, there will always be a return and risk, especially in the capital market in the form of stocks. The risk in an investment can be minimized by diversifying assets into several stocks to form a portfolio formation. Several models, such as
Asmawi Gunawan, Rohmatul Fajriyah, M Albarra Bimakasa, Siti Nirmala Untari   +3 more
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SILVar: Single Index Latent Variable Models

IEEE Transactions on Signal Processing, 2018
Print ISSN: 1053-587X Online ISSN: 1941-0476, IEEE Transactions on Signal Processing, online March 21 ...
Jonathan Mei, José M. F. Moura
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