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Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
16 references·0 citing·39 second hop
Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips (2012)Portfolio optimization based on downside …A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection (2011)A multi-objective genetic alg…Portfolio optimization problems in different risk measures using genetic algorithm (2009)Portfolio optimization proble…Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Suitable-portfolio investors,…Fuzzy portfolio optimization under downside risk measures (2006)Fuzzy portfolio optimization …Multi-objective stochastic programming for portfolio selection (2005)Multi-objective stochastic pr…Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection (2005)Mean‐Semivariance Efficient F…An interactive three-stage model for mutual funds portfolio selection☆ (2005)An interactive three-stage mo…A novel hybrid model for portfolio selection (2005)A novel hybrid model for port…Portfolio Optimization under Lower Partial Risk Measures (2002)Portfolio Optimization under …The Sharpe Ratio (1994)The Sharpe RatioDownside risk (1991)Downside riskModern Investment Theory. (1986)Modern Investment Theory.Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection (1952)Chance-Constrained Programming (1959)A Simplified Model for Portfolio Analysis (1963)A Monte-Carlo game theoretic approach for Multi-Criteria Decision Making under uncertainty (2011)Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds (2013)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Theory of Financial Decision Making. (1988)Portfolio selection based on fuzzy cross-entropy (2008)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)Stock market prediction using Hidden Markov Models (2012)Liquidity Preference as Behavior Towards Risk (1958)Heuristic algorithms for the cardinality constrained efficient frontier (2011)Twenty years of linear programming based portfolio optimization (2013)Artificial Intelligence Applied to Stock Market Trading: A Review (2021)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Forecasting stock market short-term trends using a neuro-fuzzy based methodology (2009)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)Cryptocurrency portfolio management with deep reinforcement learning (2017)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)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)The arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1991Downside risk604 cited
  • 1986Modern Investment Theory.405 cited
  • 2009Portfolio optimization problems in different risk measures using genetic algorithm288 cited
  • 2005Multi-objective stochastic programming for portfolio selection274 cited
  • 2006Fuzzy portfolio optimization under downside risk measures225 cited
  • 2006Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection176 cited
  • 2011A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection99 cited
  • 2002Portfolio Optimization under Lower Partial Risk Measures74 cited
  • 2005An interactive three-stage model for mutual funds portfolio selection☆62 cited
  • 2005Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection62 cited
  • 2005

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A novel hybrid model for portfolio selection
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