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Mean-VaR Portfolio Selection Under Real Constraints
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Mean-VaR Portfolio Selection Under Real Constraints (2010)Mean-VaR Portfolio Selection Under Real C…Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Genetic algorithms for portfo…Improving Portfolio Efficiency: A Genetic Algorithm Approach (2006)Improving Portfolio Efficienc…A data-driven optimization heuristic for downside risk minimization (2006)A data-driven optimization he…Value-at-risk in portfolio optimization: properties and computational approach (2005)Value-at-risk in portfolio op…An exact approach for portfolio selection with transaction costs and rounds (2005)An exact approach for portfol…Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (2001)Portfolio optimization proble…Optimal portfolio selection in a Value-at-Risk framework (2001)Optimal portfolio selection i…Portfolio selection with limited downside risk (2000)Portfolio selection with limi…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Heuristic algorithms for the portfolio selection problem with minimum transaction lots (1999)Heuristic algorithms for the …A heuristic algorithm for a portfolio optimization model applied to the Milan stock market (1996)A heuristic algorithm for a p…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…The Measurement and Control of Trading Costs (1990)The Measurement and Control o…Portfolio choice and equilibrium in capital markets with safety-first investors (1977)Portfolio choice and equilibr…Does the Stock Market Overreact? (1985)Multi-objective possibilistic model for portfolio selection with transaction cost (2008)Portfolio rebalancing model using multiple criteria (2010)Uncertain portfolio adjusting model using semiabsolute deviation (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk Aversion in the Small and in the Large (1964)Equilibrium in a Capital Asset Market (1966)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Extreme downside risk and expected stock returns (2012)Systematic Tail Risk (2016)Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Viability of infeasible portfolio selection problems: A fuzzy approach (2002)A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (2005)OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION (2006)Fuzzy sets (1965)Fuzzy sets (1996)Decision Making in a Fuzzy Environment (2007)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Twenty years of linear programming based portfolio optimization (2013)A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)Conditional Skewness in Asset Pricing Tests (2000)Increased Correlation in Bear Markets (2002)Caveat Emptor: Does Bitcoin Improve Portfolio Diversification? (2014)Portfolio Selection (1952)Particle swarm optimization approach to portfolio optimization (2008)A Linear Programming Approximation for the General Portfolio Analysis Problem (1971)Portfolio rebalancing with an investment horizon and transaction costs (2012)A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)Fuzzy Portfolio Optimization of Power Generation Assets (2018)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Constructing Risk Measures from Uncertainty Sets (2009)A Guide to Sample Average Approximation (2014)Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data (2015)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2005Value-at-risk in portfolio optimization: properties and computational approach325 cited
  • 2001Optimal portfolio selection in a Value-at-Risk framework315 cited
  • 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots272 cited
  • 2007Genetic algorithms for portfolio selection problems with minimum transaction lots243 cited
  • 1977Portfolio choice and equilibrium in capital markets with safety-first investors215 cited
  • 2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints193 cited
  • 1990The Measurement and Control of Trading Costs132 cited
  • 1996A heuristic algorithm for a portfolio optimization model applied to the Milan stock market123 cited
  • 2000Portfolio selection with limited downside risk90 cited
  • 2006A data-driven optimization heuristic for downside risk minimization89 cited
  • 2005An exact approach for portfolio selection with transaction costs and rounds63 cited
  • 2006Improving Portfolio Efficiency: A Genetic Algorithm Approach62 cited

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