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Geometric representation of the mean–variance–skewness portfolio frontier based upon the shortage function
16 references·4 citing·25 second hop
Geometric representation of the mean–variance–skewness portfolio frontier based upon the shortage function (2010)Geometric representation of the mean–vari…The Econometrics of Financial Markets (2012)The Econometrics of Financial…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Equilibrium Underdiversification and the Preference for Skewness (2007)Equilibrium Underdiversificat…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The variation of certain speculative prices (1997)The variation of certain spec…The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…Measuring the technical efficiency of production (1978)Measuring the technical effic…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Portfolio Selection (1952)Portfolio SelectionFifty years of portfolio optimization (2023)Fifty years of portfolio opti…The dynamic Black–Litterman approach to asset allocation (2016)The dynamic Black–Litterman a…Diversification-consistent data envelopment analysis based on directional-distance measures (2014)Diversification-consistent da…Portfolio selection with skewness: A comparison of methods and a generalized one fund result (2013)Portfolio selection with skew…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1952Portfolio Selection4,609 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1978Measuring the technical efficiency of production1,169 cited
  • 2007Equilibrium Underdiversification and the Preference for Skewness784 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 1984Large-Scale Portfolio Optimization416 cited

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Cited by

  • 2014Diversification-consistent data envelopment analysis based on directional-distance measures57 cited
  • 2023Fifty years of portfolio optimization51 cited
  • 2016The dynamic Black–Litterman approach to asset allocation40 cited
  • 2013Portfolio selection with skewness: A comparison of methods and a generalized one fund result38 cited