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MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE* · Study

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ArticleMULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*

Nils H. Hakansson1971

Article1971

MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*

Nils H. Hakansson

211 citations·0/0 files stored·The Journal of Finance

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1958The Cost of Capital, Corporation Finance and the Theory of Investment 2008The cost of capital, corporation finance and the theory of investment 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1952Portfolio Selection 1957Theory of the Consumption Function 1954Exposition of a New Theory on the Measurement of Risk 2013Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data

Cited by

2012A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs 1978THE CURRENT STATUS OF THE CAPITAL ASSET PRICING MODEL (CAPM)2014A multi-period fuzzy portfolio optimization model with minimum transaction lots 2016Fuzzy multi-period portfolio selection with different investment horizons 2006Multi-horizon Markowitz portfolio performance appraisals: A general approach☆2002Capitalism's growth imperative

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1973Mathematics of Speculative Pricearticle · 9 shared references 1999Three centuries of asset pricingarticle · 8 shared references 2018The diffusion of scientific innovations: A role typologyarticle · 8 shared references 1971Multiperiod consumption-investment decisions and risk preferencearticle · 8 shared references 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periodsarticle · 7 shared references 1975A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISIONarticle · 7 shared references

Details

Year1971

Typearticle

Published1971-09-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations211

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1111/j.1540-6261.1971.tb00924.x

openalex_workW1998473557

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2012Fuzzy multi-period portfolio selection optimization models using multiple criteria

2014Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints