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A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection
16 references·10 citing·38 second hop
A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection (2012)A Possibilistic Mean-Downside Risk-Skewne…Portfolio optimization problems in different risk measures using genetic algorithm (2009)Portfolio optimization proble…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Mean-Variance-Skewness Portfo…Mean-semivariance models for fuzzy portfolio selection (2007)Mean-semivariance models for …Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Suitable-portfolio investors,…Fuzzy portfolio optimization under downside risk measures (2006)Fuzzy portfolio optimization …Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)Portfolio rebalancing model w…Using genetic algorithm to support portfolio optimization for index fund management (2004)Using genetic algorithm to su…An MCDM approach to portfolio optimization (2003)An MCDM approach to portfolio…Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints (2001)Computational aspects of alte…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…On a canonical representation of fuzzy numbers (1998)On a canonical representation…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Portfolio Selection (1952)Portfolio SelectionHigher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure (2022)A novel approach to incorpora…MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY (2020)MULTIOBJECTIVE APPROACH TO PO…Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach (2019)Selecting Socially Responsibl…Portfolio selection with coherent Investor’s expectations under uncertainty (2019)Portfolio selection with cohe…A local adaptive learning system for online portfolio selection (2019)A local adaptive learning sys…A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria (2018)A Novel Hybrid ICA-FA Algorit…Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework (2016)Modelling and constructing me…Mean-Semi-Entropy Models of Fuzzy Portfolio Selection (2016)Mean-Semi-Entropy Models of F…Fuzzy Chance-Constrained Multiobjective Portfolio Selection Model (2013)Fuzzy Chance-Constrained Mult…The Utility Analysis of Choices Involving Risk (1948)PORTFOLIO SELECTION* (1952)Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)American Economic Review (2019)The concept of a linguistic variable and its application to approximate reasoning—II (1975)Rating and ranking of multiple-aspect alternatives using fuzzy sets (1977)Fuzzy Sets and Systems - Theory and Applications (1980)A fuzzy MCDM method for solving marine transshipment container port selection problems (2006)Extension of TOPSIS for decision-making problems with interval data: Interval efficiency (2008)An analysis of symbolic linguistic computing models in decision making (2012)Portfolio Selection: Efficient Diversification of Investments (1959)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Portfolio optimization with an envelope-based multi-objective evolutionary algorithm (2008)Heuristic algorithms for the cardinality constrained efficient frontier (2011)Artificial Intelligence Applied to Stock Market Trading: A Review (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)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)Skewness in financial returns (1999)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Portfolio Selection: Efficient Diversification of Investments. (1962)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Portfolio selection: a fuzzy-ANP approach (2020)Liquidity Preference as Behavior Towards Risk (1958)Twenty years of linear programming based portfolio optimization (2013)Fuzzy sets (1965)Fuzzy sets (1996)Mean-Entropy Models for Fuzzy Portfolio Selection (2008)Portfolio selection based on fuzzy cross-entropy (2008)Simulated annealing for complex portfolio selection problems (2003)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1998On a canonical representation of fuzzy numbers350 cited
  • 2003An MCDM approach to portfolio optimization323 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 2009Portfolio optimization problems in different risk measures using genetic algorithm288 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 2007Mean-semivariance models for fuzzy portfolio selection252 cited
  • 2001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints240 cited
  • 2006Fuzzy portfolio optimization under downside risk measures225 cited
  • 2007Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach212 cited
  • 2004Using genetic algorithm to support portfolio optimization for index fund management181 cited
  • 2006

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Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
176 cited
  • 2005Portfolio rebalancing model with transaction costs based on fuzzy decision theory165 cited
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    • 2019Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach59 cited
    • 2022A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure55 cited
    • 2013Fuzzy Chance-Constrained Multiobjective Portfolio Selection Model52 cited
    • 2019Portfolio selection with coherent Investor’s expectations under uncertainty48 cited
    • 2020MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY44 cited
    • 2016Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework43 cited
    • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
    • 2019A local adaptive learning system for online portfolio selection40 cited