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Nadir compromise programming: A model for optimization of multi-objective portfolio problem
16 references·1 citing·34 second hop
Nadir compromise programming: A model for optimization of multi-objective portfolio problem (2010)Nadir compromise programming: A model for…Multiple-Criteria Decision Making (2011)Multiple-Criteria Decision Ma…Portfolio selection using neural networks (2005)Portfolio selection using neu…A Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION (1990)PIECEWISE LINEAR RISK FUNCTIO…Decision making: Descriptive, normative, and prescriptive interactions. (1988)Decision making: Descriptive,…Multiple Criteria Decision Making (1983)Multiple Criteria Decision Ma…SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…Multiple Criteria Decision Making. (1975)Multiple Criteria Decision Ma…A concept of compromise solutions and the method of the displaced ideal (1974)A concept of compromise solut…A Linear Programming Algorithm for Mutual Fund Portfolio Selection (1967)A Linear Programming Algorith…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The research and comparison of multi-objective portfolio based on intuitionistic fuzzy optimization (2018)The research and comparison o…Modern Portfolio Theory and Investment Analysis. 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A panel data analysis (2020)Design and natural science research on information technology (1995)Seven Models of Framing: Implications for Public Relations (1999)The Analytic Hierarchy Process—An Exposition (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)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)The Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Application of multi-criteria decision making to sustainable energy planning—A review (2004)Extended VIKOR method in comparison with outranking methods (2006)Sustainable supplier selection in healthcare industries using a new MCDM method: Measurement of alternatives and ranking according to COmpromise solution (MARCOS) (2019)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
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  • 1983Multiple Criteria Decision Making2,459 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1988Decision making: Descriptive, normative, and prescriptive interactions.635 cited
  • 1974A concept of compromise solutions and the method of the displaced ideal542 cited
  • 1998A Minimax Portfolio Selection Rule with Linear Programming Solution406 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited
  • 2005Portfolio selection using neural networks310 cited
  • 2011Multiple-Criteria Decision Making300 cited
  • 1975Multiple Criteria Decision Making.230 cited
  • 1967A Linear Programming Algorithm for Mutual Fund Portfolio Selection190 cited
  • 1990

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PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
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  • 2018The research and comparison of multi-objective portfolio based on intuitionistic fuzzy optimization30 cited