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Robust tracking error portfolio selection with worst-case downside risk measures
16 references·1 citing·41 second hop
Robust tracking error portfolio selection with worst-case downside risk measures (2013)Robust tracking error portfolio selection…Why mutual funds “underperform”☆ (2010)Why mutual funds “underperfor…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Implications of rational inattention (2003)Implications of rational inat…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…Robust Convex Optimization (1998)Robust Convex OptimizationAttentional limitations in dual-task performance. (1998)Attentional limitations in du…Global Portfolio Optimization (1992)Global Portfolio OptimizationA Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…Asset Allocation in a Downside-Risk Framework (1991)Asset Allocation in a Downsid…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …A model of distributionally robust two-stage stochastic convex programming with linear recourse (2017)A model of distributionally r…Some International Evidence on Output-Inflation Tradeoffs. (1973)Golden Eggs and Hyperbolic Discounting (1997)Learning and Expectations in Macroeconomics (2001)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Conditional Skewness in Asset Pricing Tests (2000)Asymmetric correlations of equity portfolios (2002)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Robust Optimization of Large-Scale Systems (1995)Robust Discrete Optimization and Its Applications (1997)Robust Discrete Optimization and Its Applications. (1998)The Price of Robustness (2004)Theory and Applications of Robust Optimization (2010)Portfolio Selection: Efficient Diversification of Investments (1959)On Economic Inequality (1973)Chapter 2 Measurement of inequality (2000)Theory of games and economic behavior (2019)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Conditional value-at-risk for general loss distributions (2002)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)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Rational herding in financial economics (1996)Herd Behavior in Financial Markets (2000)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)
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References

  • 2000Optimization of conditional value-at-risk6,722 cited
  • 2003Implications of rational inattention3,869 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1998Robust Convex Optimization2,606 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management510 cited
  • 1998Attentional limitations in dual-task performance.403 cited
  • 1991Asset Allocation in a Downside-Risk Framework398 cited
  • 2010Why mutual funds “underperform”☆338 cited
  • 1999Variance vs downside risk: Is there really that much difference?

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  • 2017A model of distributionally robust two-stage stochastic convex programming with linear recourse31 cited