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OPTIMIZING THE PORTFOLIO SELECTION FOR MUTUAL FUNDS*
6 references·16 citing·45 second hop
OPTIMIZING THE PORTFOLIO SELECTION FOR MUTUAL FUNDS* (1973)OPTIMIZING THE PORTFOLIO SELECTION FOR MU…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Management Goals and Accounting for Control. (1967)Management Goals and Accounti…A Linear Programming Algorithm for Mutual Fund Portfolio Selection (1967)A Linear Programming Algorith…Management Goals and Accounting for Control (1966)Management Goals and Accounti…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*On the increasing importance of multiple criteria decision aid methods for portfolio selection (2018)On the increasing importance …Multicriteria Decision Aid/Analysis in Finance (2016)Multicriteria Decision Aid/An…Robust goal programming for multi-objective portfolio selection problem (2013)Robust goal programming for m…Adopting genetic algorithms for technical analysis and portfolio management (2013)Adopting genetic algorithms f…Selection of Socially Responsible Portfolios Using Hedonic Prices (2012)Selection of Socially Respons…Multicriteria Portfolio Management (2012)Multicriteria Portfolio Manag…A fuzzy multi-objective approach for sustainable investments (2012)A fuzzy multi-objective appro…Selection of Socially Responsible Portfolios using Goal Programming and fuzzy technology (2011)Selection of Socially Respons…A Review of Goal Programming for Portfolio Selection (2010)A Review of Goal Programming …Equity portfolio management within the MCDM frame: a literature review (2009)Equity portfolio management w…Portfolio Selection in the Presence of Multiple Criteria (2008)Portfolio Selection in the Pr…Multiple Criteria Decision Making (2008)Multiple Criteria Decision Ma…Enhanced Index Investing Based on Goal Programming (2007)Enhanced Index Investing Base…On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds (2003)On the construction of mutual…Financial modelling: Where to go? With an illustration for portfolio management (1997)Financial modelling: Where to…GOAL PROGRAMMING AND THE SELECTION OF PORTFOLIOS BY DUAL‐PURPOSE FUNDS (1978)GOAL PROGRAMMING AND THE SELE…The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Multicriteria decision systems for financial problems (2013)The Evaluation of Financial Stability and Soundness of Lithuanian Banks (2013)Ranking-based MCDM models in financial management applications: analysis and emerging challenges (2020)Portfolio Analysis in a Stable Paretian Market (1965)Market and Industry Factors in Stock Price Behavior (1966)AN EXTENSION OF THE MARKOWITZ PORTFOLIO SELECTION MODEL TO INCLUDE VARIABLE TRANSACTIONS' COSTS, SHORT SALES, LEVERAGE POLICIES AND TAXES (1970)Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios (1971)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Fuzzy sets (1965)Fuzzy sets (1996)Optimization of conditional value-at-risk (2000)A risk index model for multi-period uncertain portfolio selection (2012)Constant and variable returns to scale DEA models for socially responsible investment funds (2013)Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier (2014)Portfolio Selection: Efficient Diversification of Investments (1959)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)A New Approach to Consumer Theory (1966)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A multi‐criterion approach for selecting attractive portfolio (2002)The relevance of MCDM for financial decisions (2002)IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection (2010)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments. (1962)Toward a Psychology of Being (1962)A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)Financial modelling with multiple criteria decision making: A systematic literature review (2020)Review of Multi-Criteria Decision-Making Methods in Finance Using Explainable Artificial Intelligence (2022)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)The New Institutionalism: Organizational Factors in Political Life (1983)Random matrix approach to cross correlations in financial data (2002)Problems and methods with multiple objective functions (1971)Legitimacy Theory or Managerial Reality Construction? Corporate Social Disclosure in Marks and Spencer Plc Corporate Reports, 1969-1997 (2000)Multiple criteria decision making combined with finance: A categorized bibliographic study (2003)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)Multiple Criteria Decision Making Theory and Application (1980)Management Science and Marketing Management (1985)An integrated approach to project evaluation and selection (1988)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1967Management Goals and Accounting for Control.362 cited
  • 1967A Linear Programming Algorithm for Mutual Fund Portfolio Selection190 cited
  • 1966Management Goals and Accounting for Control96 cited

Cited by

  • 2018On the increasing importance of multiple criteria decision aid methods for portfolio selection100 cited
  • 1997Financial modelling: Where to go? With an illustration for portfolio management91 cited
  • 2011Selection of Socially Responsible Portfolios using Goal Programming and fuzzy technology87 cited
  • 2016Multicriteria Decision Aid/Analysis in Finance75 cited
  • 2008Portfolio Selection in the Presence of Multiple Criteria61 cited
  • 2003On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds61 cited
  • 2012Selection of Socially Responsible Portfolios Using Hedonic Prices57 cited
  • 2012A fuzzy multi-objective approach for sustainable investments51 cited
  • 2007Enhanced Index Investing Based on Goal Programming

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50 cited
  • 1978GOAL PROGRAMMING AND THE SELECTION OF PORTFOLIOS BY DUAL‐PURPOSE FUNDS50 cited
  • 2012Multicriteria Portfolio Management45 cited
  • 2008Multiple Criteria Decision Making45 cited
  • 2010A Review of Goal Programming for Portfolio Selection45 cited
  • 2013Robust goal programming for multi-objective portfolio selection problem44 cited
  • 2013Adopting genetic algorithms for technical analysis and portfolio management42 cited
  • 2009Equity portfolio management within the MCDM frame: a literature review42 cited