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60 Years of portfolio optimization: Practical challenges and current trends · Study

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Article60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm2013

Article2013

60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm · Reha H. Tütüncü · Frank J. Fabozzi

633 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1970Introduction to Stochastic Control Theory 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1991Inferring Trade Direction from Intraday Data 2000Conditional Skewness in Asset Pricing Tests

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Year2013

Typearticle

Published2013-11-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations633

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2013.10.060

openalex_workW2073103707

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2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization

2017Mean-VaR portfolio optimization: A nonparametric approach