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Multicriteria Portfolio Management
16 references·2 citing·31 second hop
Multicriteria Portfolio Management (2012)Multicriteria Portfolio ManagementMultiple Criteria Decision Analysis: State of the Art Surveys (2005)Multiple Criteria Decision An…Multiple criteria decision making combined with finance: A categorized bibliographic study (2003)Multiple criteria decision ma…Multiple Criteria Decision Analysis (2002)Multiple Criteria Decision An…Multiple Criteria Decision Analysis: An Integrated Approach (2001)Multiple Criteria Decision An…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Multicriteria Methodology for Decision Aiding (1997)Multicriteria Methodology for…Multicriteria Decision-Aid. (1993)Multicriteria Decision-Aid.A multiobjective approach to vendor selection (1993)A multiobjective approach to …Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Financial statement analysis and the prediction of stock returns (1989)Financial statement analysis …CHAPMAN AND HALL (1985)CHAPMAN AND HALLModern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Assessing a set of additive utility functions for multicriteria decision-making, the UTA method (1982)Assessing a set of additive u…Decisions with Multiple Objectives: Preferences and Value Trade-Offs (1979)Decisions with Multiple Objec…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Evaluating the quality of solutions in project portfolio selection (2019)Evaluating the quality of sol…Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework (2016)Modelling and constructing me…An analysis of production as an efficient combination of activities (1951)The Principles of Morals and Legislation (1988)PROMETHEE: A comprehensive literature review on methodologies and applications (2009)A state-of the-art survey of TOPSIS applications (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multi-criteria decision analysis in environmental sciences: Ten years of applications and trends (2011)Review of the main developments in the analytic hierarchy process (2011)A review of multi criteria decision making (MCDM) towards sustainable renewable energy development (2016)A review of methods supporting supplier selection (2001)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Multiattribute and Single-Attribute Utility Functions for the Health Utilities Index Mark 3 System (2002)The Adaptive Markets Hypothesis (2004)Multiple criteria decision-making techniques and their applications – a review of the literature from 2000 to 2014 (2015)Sex differences in human mate preferences: Evolutionary hypotheses tested in 37 cultures (1989)Origins of the modern mind: three stages in the evolution of culture and cognition (1992)Methods to account for spatial autocorrelation in the analysis of species distributional data: a review (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)STATE OF ART SURVEYS OF OVERVIEWS ON MCDM/MADM METHODS (2014)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2005Multiple Criteria Decision Analysis: State of the Art Surveys4,500 cited
  • 1985CHAPMAN AND HALL4,352 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 2001Multiple Criteria Decision Analysis: An Integrated Approach2,704 cited
  • 2002Multiple Criteria Decision Analysis2,658 cited
  • 1979Decisions with Multiple Objectives: Preferences and Value Trade-Offs1,784 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1993Multicriteria Decision-Aid.1,403 cited
  • 1997Multicriteria Methodology for Decision Aiding1,283 cited
  • 1982Assessing a set of additive utility functions for multicriteria decision-making, the UTA method1,091 cited
  • 1989Financial statement analysis and the prediction of stock returns996 cited
  • 1993A multiobjective approach to vendor selection534 cited
  • 2003Multiple criteria decision making combined with finance: A categorized bibliographic study392 cited

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1997
Portfolio selection and skewness: Evidence from international stock markets
384 cited

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  • 2016Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework43 cited
  • 2019Evaluating the quality of solutions in project portfolio selection30 cited