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Portfolio-optimization models for small investors
13 references·0 citing·41 second hop
Portfolio-optimization models for small investors (2012)Portfolio-optimization models for small i…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)An Exact Solution Approach fo…Convex risk measures for portfolio optimization and concepts of flexibility (2005)Convex risk measures for port…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…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 …Operations Research Proceedings 1997 (1998)Operations Research Proceedin…A Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…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 Information Content of Prices: A Preliminary Model for Estimating Buyer Response (1971)The Information Content of Pr…A Stochastic Approximation Method (1951)Coherent Measures of Risk (1999)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Portfolio Selection: Efficient Diversification of Investments (1959)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)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)Heuristics for cardinality constrained portfolio optimisation (2000)VaR optimal portfolio with transaction costs (2011)Linear vs. quadratic portfolio selection models with hard real-world constraints (2014)Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis Under Credibilistic Framework (2020)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Conditional value-at-risk: optimization algorithms and applications (2002)Empirical Tests for Stochastic Dominance Efficiency (2003)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)Portfolio Selection (1952)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)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)Mutual Fund Performance (1966)Modeling and optimization of risk (2010)Heuristic algorithms for the cardinality constrained efficient frontier (2011)A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)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)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2009Lectures on Stochastic Programming1,419 cited
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  • 2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints193 cited
  • 1996A heuristic algorithm for a portfolio optimization model applied to the Milan stock market123 cited
  • 2005An exact approach for portfolio selection with transaction costs and rounds63 cited
  • 1998Operations Research Proceedings 199757 cited
  • 2005Convex risk measures for portfolio optimization and concepts of flexibility48 cited
  • 1971The Information Content of Prices: A Preliminary Model for Estimating Buyer Response35 cited

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