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Optimal Financial Portfolios
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Optimal Financial Portfolios (2007)Optimal Financial PortfoliosGeneralized deviations in risk analysis (2005)Generalized deviations in ris…Different Approaches to Risk Estimation in Portfolio Theory (2004)Different Approaches to Risk …Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …On the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…On consistency of stochastic dominance and mean–semideviation models (2001)On consistency of stochastic …Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Sharpe Ratio (1994)The Sharpe RatioMean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionCopula-based Black–Litterman portfolio optimization (2021)Copula-based Black–Litterman …Omega-CVaR Portfolio Optimization and Its Worst Case Analysis (2016)Omega-CVaR Portfolio Optimiza…Reward–risk ratios (2013)Reward–risk ratiosThe Choice of Performance Measure Does Influence the Evaluation of Hedge Funds (2009)The Choice of Performance Mea…The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Optimization of conditional value-at-risk (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The arbitrage theory of capital asset pricing (1976)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1952Portfolio Selection4,609 cited
  • 1966Mutual Fund Performance3,932 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1994The Sharpe Ratio2,542 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2005Generalized deviations in risk analysis572 cited
  • 2001On consistency of stochastic dominance and mean–semideviation models257 cited
  • 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited

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Cited by

  • 2016Omega-CVaR Portfolio Optimization and Its Worst Case Analysis51 cited
  • 2013Reward–risk ratios44 cited
  • 2021Copula-based Black–Litterman portfolio optimization43 cited
  • 2009The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds30 cited