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Models and Simulations for Portfolio Rebalancing
16 references·0 citing·33 second hop
Models and Simulations for Portfolio Rebalancing (2008)Models and Simulations for Portfolio Reba…Conditional value at risk and related linear programming models for portfolio optimization (2006)Conditional value at risk and…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints (2001)Portfolio optimization proble…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Coherent Measures of Risk (1999)Coherent Measures of RiskA Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Survey of current business (1921)Survey of current businessCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)Risk-averse two-stage stochastic programming with an application to disaster management (2011)American Economic Review (2019)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Conditional value-at-risk: optimization algorithms and applications (2002)Empirical Tests for Stochastic Dominance Efficiency (2003)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)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 optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)The relationship between return and market value of common stocks (1981)Capital-skill Complementarity and Inequality: A Macroeconomic Analysis (2000)The Resurgence of Growth in the Late 1990s: Is Information Technology the Story? (2000)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
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  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
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  • 2006Conditional value at risk and related linear programming models for portfolio optimization221 cited
  • 2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

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193 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS192 cited
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