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Characteristic-based mean-variance portfolio choice · Study

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ArticleCharacteristic-based mean-variance portfolio choice

Erik Hjalmarsson2011

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Articlebronze2011

Characteristic-based mean-variance portfolio choice

Erik Hjalmarsson · Petar Manchev

49 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1992The Cross-Section of Expected Stock Returns 1996Multifactor Explanations of Asset Pricing Anomalies 1952Portfolio Selection 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1990Evidence of Predictable Behavior of Security Returns 1998Value versus Growth: The International Evidence 2012Size, value, and momentum in international stock returns 1990When Are Contrarian Profits Due to Stock Market Overreaction?

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2019A polynomial goal programming approach for intuitionistic fuzzy portfolio optimization using entropy and higher moments 2023Higher-order moments in portfolio selection problems: A comprehensive literature review 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection

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Year2011

Typearticle

Published2011-12-13

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations49

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2011.12.002

openalex_workW1968305514

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