. General, Electric Gel -5

. Procter, Gramble PaG -6

. Gilead, sciences GiS -14

H. Markowitz, PORTFOLIO SELECTION*, The Journal of Finance, vol.7, issue.1, p.1959
DOI : 10.1111/j.1540-6261.1952.tb01525.x

H. Markowitz, Mean-Variance Analysis in Portfolio Choice and Capital Markets, p.462

B. Blackwell and R. O. Michaud, The Markowitz Optimization Enigma: Is 'Optimized' Optimal?, Financial Analysts Journal, vol.464, issue.45, pp.31-42, 1989.

F. Black and R. Litterman, Global portfolio optimization, Financial Analysts Jour- 466 nal, pp.28-43, 1992.

O. Ledoit, M. Wolf, . Honey, . Shrunk-the-sample-covariance, and . Matrix, The Journal 470 of Portfolio Management, pp.110-119, 2004.

M. Levy and R. , The Market Portfolio May Be Mean/Variance Efficient After All, Review of Financial Studies, vol.23, issue.6, p.472
DOI : 10.1093/rfs/hhp119

E. Delatola and J. E. Griffin, Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility, Bayesian Analysis, vol.6, issue.4, pp.901-927, 2011.
DOI : 10.1214/11-BA632

A. Kresta, Application of GARCH-Copula Model in Portfolio Optimization, Financial Assets and Investing, vol.6, issue.2, p.476
DOI : 10.5817/FAI2015-2-1

J. Tobin, Estimation of Relationships for Limited Dependent Variables, Econo- 478 metrica, pp.24-36, 1958.

F. D. Arditti, Another Look at Mutual Fund Performance, The Journal of Financial and Quantitative Analysis, vol.6, issue.3, pp.909-921, 1971.
DOI : 10.2307/2329910

A. Prakash, C. Chang, and T. Pactwa, Selecting a Portfolio with Skewness: Recent 485

J. Estrada, Mean-Semivariance Behavior: An Alternative Model of Behavior, SSRN Electronic Journal, vol.3, pp.231-279, 2004.
DOI : 10.2139/ssrn.283867

J. Estrada, Optimization : A Heuristic Approach, Journal of Applied Finance, vol.490, pp.57-72, 2008.

W. Hogan and J. Warren, Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance, The Journal of Financial and Quantitative Analysis, vol.9, issue.1, pp.1-11, 1974.
DOI : 10.2307/2329964

J. S. Ang, A Note on the ESL Portfolio Selection Model, The Journal of Finan- 494 cial and Quantitative Analysis, pp.849-57, 1975.

V. Harlow, Asset allocation in a downside risk framework, Financial Analyst 496, Journal, vol.47, pp.28-40, 1991.

C. Mamoghli and S. Daboussi, Optimisation de portefeuille downside risk, Social 498, Science Research Network, vol.23
DOI : 10.2139/ssrn.1237322

G. Athayde, Building a Mean-Downside Risk Portfolio Frontier, Developments 503 in Forecast Combination and Portfolio Choice, 2001.

G. Athayde, The mean-downside risk portfolio frontier : a non-parametric The 505 mean-downside risk portfolio frontier : a non-parametric approach Advances 506 in portfolio construction and implementation Median- 508 based Nonparametric Estimation of Returns in Mean-Downside Risk Port- 509 folio frontier, Annals of Operations, pp.10479-10495, 2003.

H. B. Salah, A. Gannoun, C. De-peretti, M. Ribatet, and A. Trabelsi, A New 512 Approach in Nonparametric Estimation of Returns in Mean-Downside Risk 513 Portfolio frontier, 2016.

D. Bosq and J. Lecoutre, Theorie de l'Estimation Fonctionnelle, Economica, 515 1987. 516 L. Wasserman, All of nonparametric statistics, 517 P. Sarda, Smoothing parameter selection for smooth distribution functions, p.518, 2006.

N. Altman and C. Leger, Bandwidth Selection for Kernel Distribution Function 520

Y. Li, M. Hong, N. Tuner, J. Lupton, and R. , estimation of correlation func- 522 tions in longitudinal and spatial data, with application to colon carcinogenesis 523 experiments, pp.1608-1651, 2007.

S. Arlot and A. Celisse, A survey of cross-validation procedures for model selection, Statistics Surveys, vol.4, issue.0
DOI : 10.1214/09-SS054
URL : https://hal.archives-ouvertes.fr/hal-00407906