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MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
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MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS (2001)MINIMAL COST INDEX TRACKING UNDER NONLINE…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities (1994)Integrated Simulation and Opt…A simple algorithm to incorporate transactions costs in quadratic optimisation (1994)A simple algorithm to incorpo…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Theory and Capital Markets. (1972)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Simulated annealing for complex portfolio selection problems (2003)Portfolio optimization with linear and fixed transaction costs (2006)Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency (1982)On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management (2004)Mean-reversion and optimization (2014)Enhanced index tracking with CVaR-based ratio measures (2020)A Random Walk Down Wall Street (1973)Theory of Financial Decision Making. (1988)Capturing the Correlations of Fixed-income Instruments (1994)The Threshold Accepting Heuristic for Index Tracking (2002)Stochastic programming models for asset liability management (2008)
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References

  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 1994Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities76 cited
  • 1994A simple algorithm to incorporate transactions costs in quadratic optimisation58 cited

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