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Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations
16 references·10 citing·42 second hop
Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations (2012)Risk index based models for portfolio adj…A risk index model for portfolio selection with returns subject to experts’ estimations (2012)A risk index model for portfo…Mean–variance models for portfolio selection subject to experts’ estimations (2011)Mean–variance models for port…Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Conditional value-at-risk in …Portfolio Analysis : From Probabilistic to Credibilistic and Uncertain Approaches (2010)Portfolio Analysis : From Pro…Mean-risk model for uncertain portfolio selection (2010)Mean-risk model for uncertain…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…Evaluating Value-at-Risk Models with Desk-Level Data (2009)Evaluating Value-at-Risk Mode…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…The Distribution of the Sample Minimum-Variance Frontier (2008)The Distribution of the Sampl…Simulating Sensitivities of Conditional Value at Risk (2008)Simulating Sensitivities of C…Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization (2008)Incorporating Asymmetric Dist…Mean-semivariance models for fuzzy portfolio selection (2007)Mean-semivariance models for …Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…Computation of mean-semivariance efficient sets by the Critical Line Algorithm (1993)Computation of mean-semivaria…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Multi-period uncertain portfolio optimization model with minimum transaction lots and dynamic risk preference (2021)Multi-period uncertain portfo…Mean-variance-skewness portfolio optimization under uncertain environment using improved genetic algorithm (2021)Mean-variance-skewness portfo…A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification (2021)A new mean-variance-entropy m…Uncertain portfolio optimization problem under a minimax risk measure (2019)Uncertain portfolio optimizat…Uncertain portfolio selection with mental accounts and realistic constraints (2018)Uncertain portfolio selection…A review of uncertain portfolio selection (2017)A review of uncertain portfol…Project selection and adjustment based on uncertain measure (2016)Project selection and adjustm…Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty (2016)Multi-period portfolio select…Project selection and scheduling with uncertain net income and investment cost (2014)Project selection and schedul…Mean-chance model for portfolio selection based on uncertain measure (2014)Mean-chance model for portfol…Martingales and arbitrage in multiperiod securities markets (1979)Evaluating Interval Forecasts (1998)Coherent Measures of Risk (1999)Comparison of Volatility Measures: a Risk Management Perspective (2009)The level and quality of Value-at-Risk disclosure by commercial banks (2009)Evaluating Value-at-Risk Models via Quantile Regression (2010)Mean-Variance Analysis in Portfolio Choice and Capital Markets. 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this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management510 cited
  • 2009Evaluating Value-at-Risk Models with Desk-Level Data366 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 2007Mean-semivariance models for fuzzy portfolio selection252 cited
  • 1993Computation of mean-semivariance efficient sets by the Critical Line Algorithm201 cited
  • 2008Simulating Sensitivities of Conditional Value at Risk143 cited
  • 2011Conditional value-at-risk in portfolio optimization: Coherent but fragile138 cited
  • 2008The Distribution of the Sample Minimum-Variance Frontier136 cited
  • 2008Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization134 cited
  • 2010Mean-risk model for uncertain portfolio selection105 cited
  • 2011Mean–variance models for portfolio selection subject to experts’ estimations86 cited
  • 2012A risk index model for portfolio selection with returns subject to experts’ estimations

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82 cited
  • 2010Portfolio Analysis : From Probabilistic to Credibilistic and Uncertain Approaches78 cited
  • Cited by

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    • 2019Uncertain portfolio optimization problem under a minimax risk measure51 cited
    • 2018Uncertain portfolio selection with mental accounts and realistic constraints47 cited
    • 2014Mean-chance model for portfolio selection based on uncertain measure46 cited
    • 2021Multi-period uncertain portfolio optimization model with minimum transaction lots and dynamic risk preference46 cited
    • 2017A review of uncertain portfolio selection42 cited
    • 2021Mean-variance-skewness portfolio optimization under uncertain environment using improved genetic algorithm38 cited
    • 2016Project selection and adjustment based on uncertain measure26 cited