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Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs
16 references·0 citing·39 second hop
Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs (2013)Warm-Start Heuristic for Stochastic Portf…High-Frequency Trading (2011)High-Frequency TradingPortfolio selection with higher moments (2010)Portfolio selection with high…Encyclopedia of Quantitative Finance (2010)Encyclopedia of Quantitative …Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…Portfolio optimization with linear and fixed transaction costs (2006)Portfolio optimization with l…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints (2001)Computational aspects of alte…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Stochastic Programming (1995)Stochastic ProgrammingAn Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…A Stochastic Programming Model (1963)A Stochastic Programming ModelSafety First and the Holding of Assets (1952)Safety First and the Holding …Expectation in Economics (1949)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)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Bank Governance, Regulation, and Risk Taking (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing: A simplified approach (1979)Optimal control of execution costs (1998)A New Estimate of Transaction Costs (1999)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Linear Programming Under Uncertainty (2004)Brownian Motion and Stochastic Flow Systems. (1987)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Arbitrage Theory in Continuous Time (1998)Portfolio Choice in the Presence of Housing (2004)Portfolio Selection: Efficient Diversification of Investments (1959)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Downside Risk (2006)Optimal Portfolio Choice with Parameter Uncertainty (2007)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk: optimization algorithms and applications (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Lectures on Stochastic Programming (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Theory and Applications of Robust Optimization (2011)
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References

  • 2000Optimization of conditional value-at-risk6,722 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1952Safety First and the Holding of Assets2,555 cited
  • 1995Stochastic Programming1,545 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 1963A Stochastic Programming Model575 cited
  • 2010Portfolio selection with higher moments535 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 2006Portfolio optimization with linear and fixed transaction costs350 cited
  • 2010Encyclopedia of Quantitative Finance314 cited
  • 2011High-Frequency Trading249 cited
  • 2009Robust portfolios: contributions from operations research and finance246 cited
  • 2001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints

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