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Neural network-based mean–variance–skewness model for portfolio selection
16 references·14 citing·42 second hop
Neural network-based mean–variance–skewness model for portfolio selection (2006)Neural network-based mean–variance–skewne…Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model (1997)Estimation Risk in Portfolio …THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)OPTIMAL PORTFOLIO MANAGEMENT …A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)A MEAN-VARIANCE-SKEWNESS PORT…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…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Another Look at Mutual Fund Performance (1971)Another Look at Mutual Fund P…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Models of Capital Budgeting, E-V Vs E-S (1970)Models of Capital Budgeting, …RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Portfolio Selection (1952)Portfolio SelectionMultiagent-based deep reinforcement learning for risk-shifting portfolio management (2022)Multiagent-based deep reinfor…Feature Learning for Stock Price Prediction Shows a Significant Role of Analyst Rating (2021)Feature Learning for Stock Pr…A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange (2019)A hybrid approach for portfol…A novel hybrid heuristic algorithm for a new uncertain mean-variance-skewness portfolio selection model with real constraints (2018)A novel hybrid heuristic algo…A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms (2018)A constrained portfolio selec…Predict Stock Price with Financial News Based on Recurrent Convolutional Neural Networks (2017)Predict Stock Price with Fina…Uncertain programming models for portfolio selection with uncertain returns (2014)Uncertain programming models …A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection (2012)A Possibilistic Mean-Downside…Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection (2011)Mean-Variance-Skewness-Entrop…Portfolio rebalancing model using multiple criteria (2010)Portfolio rebalancing model u…Geometric representation of the mean–variance–skewness portfolio frontier based upon the shortage function (2010)Geometric representation of t…Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Fuzzy mean–variance–skewness …Combined forecasts in portfolio optimization: A generalized approach (2010)Combined forecasts in portfol…A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns (2009)A hybrid intelligent algorith…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)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)Mean-semivariance models for fuzzy portfolio selection (2007)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)American Economic Review (2019)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)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)Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)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
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS219 cited
  • 1997Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model205 cited
  • 1970Models of Capital Budgeting, E-V Vs E-S197 cited
  • 1995A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL193 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS

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192 cited
  • 1971Another Look at Mutual Fund Performance157 cited
  • Cited by

    • 2010Fuzzy mean–variance–skewness portfolio selection models by interval analysis116 cited
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    • 2011Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection95 cited
    • 2019A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange85 cited
    • 2009A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns74 cited
    • 2012A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection70 cited
    • 2010Geometric representation of the mean–variance–skewness portfolio frontier based upon the shortage function57 cited
    • 2018A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms51 cited
    • 2014Uncertain programming models for portfolio selection with uncertain returns50 cited
    • 2018A novel hybrid heuristic algorithm for a new uncertain mean-variance-skewness portfolio selection model with real constraints49 cited
    • 2022Multiagent-based deep reinforcement learning for risk-shifting portfolio management47 cited
    • 2017Predict Stock Price with Financial News Based on Recurrent Convolutional Neural Networks47 cited
    • 2021Feature Learning for Stock Price Prediction Shows a Significant Role of Analyst Rating45 cited
    • 2010Combined forecasts in portfolio optimization: A generalized approach44 cited