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A compromise solution to mutual funds portfolio selection with transaction costs
16 references·0 citing·36 second hop
A compromise solution to mutual funds portfolio selection with transaction costs (2001)A compromise solution to mutual funds por…A model for portfolio selection with order of expected returns (2000)A model for portfolio selecti…A linear programming algorithm for optimal portfolio selection with transaction costs (2000)A linear programming algorith…Multiple Criteria Decision Making and its Applications to Economic Problems (1998)Multiple Criteria Decision Ma…THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…Portfolio Selection: A Compromise Programming Solution (1996)Portfolio Selection: A Compro…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Comparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Comparison of Alternative Uti…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…“ARE BETAS BEST?”† (1978)“ARE BETAS BEST?”†"Are Betas Best?" (1978)"Are Betas Best?"ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION (1973)ESTIMATING THE DEPENDENCE STR…A Linear Programming Algorithm for Mutual Fund Portfolio Selection (1967)A Linear Programming Algorith…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionPortfolio Analysis in a Stable Paretian Market (1965)Market and Industry Factors in Stock Price Behavior (1966)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)PORTFOLIO SELECTION* (1952)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)A Test of the Efficiency of a Given Portfolio (1989)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Stochastic Network Programming for Financial Planning Problems (1992)Multi-stage stochastic linear programs for portfolio optimization (1993)Heuristics for cardinality constrained portfolio optimisation (2000)Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2014)Liquidity Preference as Behavior Towards Risk (1958)Risk Aversion in the Small and in the Large (1976)When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Lectures on Stochastic Programming (2009)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)The Adjustment of Stock Prices to New Information (1969)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Foundations of Portfolio Theory (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)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

  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1952Portfolio Selection4,609 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,036 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,164 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 1983Comparison of Alternative Utility Functions in Portfolio Selection Problems202 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS192 cited
  • 1967A Linear Programming Algorithm for Mutual Fund Portfolio Selection190 cited
  • 2000A model for portfolio selection with order of expected returns187 cited
  • 1998Multiple Criteria Decision Making and its Applications to Economic Problems174 cited
  • 1978“ARE BETAS BEST?”†104 cited
  • 1996Portfolio Selection: A Compromise Programming Solution103 cited
  • 2000A linear programming algorithm for optimal portfolio selection with transaction costs42 cited

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  • 1978"Are Betas Best?"33 cited
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