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Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
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Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (2001)Portfolio optimization problem under conc…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)A MEAN-VARIANCE-SKEWNESS PORT…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach (2022)Portfolio constructions in cr…Fuzzy multi-period portfolio selection with different investment horizons (2016)Fuzzy multi-period portfolio …Estimation of portfolio efficiency via DEA (2014)Estimation of portfolio effic…A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)A multi-period fuzzy portfoli…Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (2012)Simultaneous pursuit of out-o…Portfolio rebalancing with an investment horizon and transaction costs (2012)Portfolio rebalancing with an…Kernel Search: a new heuristic framework for portfolio selection (2010)Kernel Search: a new heuristi…A robust mean absolute deviation model for portfolio optimization (2010)A robust mean absolute deviat…A comparison of MAD and CVaR models with real features (2007)A comparison of MAD and CVaR …OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION (2006)OPTIMAL LOT SOLUTION TO CARDI…Mean-absolute deviation model (2005)Mean-absolute deviation modelA mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (2005)A mixed integer linear progra…On LP Solvable Models for Portfolio Selection (2003)On LP Solvable Models for Por…LP solvable models for portfolio optimization: a classification and computational comparison (2003)LP solvable models for portfo…Viability of infeasible portfolio selection problems: A fuzzy approach (2002)Viability of infeasible portf…The Threshold Accepting Heuristic for Index Tracking (2002)The Threshold Accepting Heuri…Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Fuzzy-Portfolio-Selection Models With Value-at-Risk (2011)Theory and Applications of Robust Optimization (2011)Mean-VaR portfolio optimization: A nonparametric approach (2017)Liquidity Preference as Behavior Towards Risk (1958)Optimum consumption and portfolio rules in a continuous-time model (1971)Local Search Techniques for Constrained Portfolio Selection Problems (2002)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Two new models for portfolio selection with stochastic returns taking fuzzy information (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio Theory and Capital Markets. (1972)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Simulated annealing for complex portfolio selection problems (2003)Portfolio optimization with linear and fixed transaction costs (2006)Safety First and the Holding of Assets (1952)Conditional value-at-risk for general loss distributions (2002)Lagrangian relaxation procedure for cardinality-constrained portfolio optimization (2008)Optimal Cardinality Constrained Portfolio Selection (2013)A brief review of portfolio optimization techniques (2022)A Simplified Model for Portfolio Analysis (1963)Portfolio selection problems with random fuzzy variable returns (2008)Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm (2012)On the increasing importance of multiple criteria decision aid methods for portfolio selection (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 1995A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL193 cited

Cited by

  • 2006OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION163 cited
  • 2005A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem158 cited
  • 2002Viability of infeasible portfolio selection problems: A fuzzy approach133 cited
  • 2003LP solvable models for portfolio optimization: a classification and computational comparison128 cited
  • 2012Portfolio rebalancing with an investment horizon and transaction costs118 cited
  • 2014A multi-period fuzzy portfolio optimization model with minimum transaction lots106 cited
  • 2016Fuzzy multi-period portfolio selection with different investment horizons98 cited

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  • 2005Mean-absolute deviation model86 cited
  • 2010A robust mean absolute deviation model for portfolio optimization84 cited
  • 2014Estimation of portfolio efficiency via DEA83 cited
  • 2012Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios76 cited
  • 2010Kernel Search: a new heuristic framework for portfolio selection75 cited
  • 2003On LP Solvable Models for Portfolio Selection74 cited
  • 2002The Threshold Accepting Heuristic for Index Tracking73 cited
  • 2007A comparison of MAD and CVaR models with real features72 cited
  • 2022Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach70 cited