SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Comparative issues in large-scale mean–variance efficient frontier computation
16 references·1 citing·40 second hop
Comparative issues in large-scale mean–variance efficient frontier computation (2010)Comparative issues in large-scale mean–va…Multiple criteria decision aiding (2010)Multiple criteria decision ai…Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming (2009)Large-scale MV efficient fron…Handbook of Portfolio Construction (2009)Handbook of Portfolio Constru…A MULTICRITERIA DECISION SUPPORT SYSTEM FOR COMPETENCE-DRIVEN PROJECT PORTFOLIO SELECTION (2009)A MULTICRITERIA DECISION SUPP…A DEA-BASED APPROACH TO RANKING MULTI-CRITERIA ALTERNATIVES (2009)A DEA-BASED APPROACH TO RANKI…Fuzzy Portfolio Optimization: Theory and Methods (2008)Fuzzy Portfolio Optimization:…Efficient implementation of an active set algorithm for large-scale portfolio selection (2007)Efficient implementation of a…Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach (2007)Continuous-time portfolio sel…Randomly generating portfolio-selection covariance matrices with specified distributional characteristics (2005)Randomly generating portfolio…Multi-objective stochastic programming for portfolio selection (2005)Multi-objective stochastic pr…Extending the MAD portfolio optimization model to incorporate downside risk aversion (2001)Extending the MAD portfolio o…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Managing Investment Portfolios (1983)Managing Investment PortfoliosPortfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionA python-based multicriteria portfolio selection DSS (2020)A python-based multicriteria …Chance-Constrained Programming (1959)A Simplified Model for Portfolio Analysis (1963)A Monte-Carlo game theoretic approach for Multi-Criteria Decision Making under uncertainty (2011)Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Calculus (2007)Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2014)Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2015)Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility (2017)Safety First and the Holding of Assets (1952)Modern Portfolio Theory and Investment Analysis. (1982)On Imposing ESG Constraints of Portfolio Selection for Sustainable Investment and Comparing the Efficient Frontiers in the Weight Space (2020)Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing (2022)The magical number seven, plus or minus two: Some limits on our capacity for processing information. (1956)Multiple Criteria Decision Analysis: State of the Art Surveys (2005)Transparent prioritisation, budgeting and resource allocation with multi-criteria decision analysis and decision conferencing (2007)An Invitation to Portfolio Decision Analysis (2011)A comparison of representations for discrete multi-criteria decision problems (2012)Integrating sustainability into construction project portfolio management (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Prospect theory: An analysis of decision under risk (1988)Global Stock Selection Modeling and Efficient Portfolio Construction and Management (2013)Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization (2016)A simulation comparison of risk measures for portfolio optimization (2017)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)A new perspective for optimal portfolio selection with random fuzzy returns (2007)Fuzzy portfolio optimization model under real constraints (2013)Sustainability in supplier selection and order allocation: Combining integer variables with Markowitz portfolio theory (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)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)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 2005Multi-objective stochastic programming for portfolio selection274 cited
  • 2005Randomly generating portfolio-selection covariance matrices with specified distributional characteristics101 cited
  • 2007Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach98 cited
  • 2009Handbook of Portfolio Construction64 cited
  • 2009A MULTICRITERIA DECISION SUPPORT SYSTEM FOR COMPETENCE-DRIVEN PROJECT PORTFOLIO SELECTION59 cited
  • 2009Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming55 cited
  • 2001Extending the MAD portfolio optimization model to incorporate downside risk aversion54 cited
  • 2010Multiple criteria decision aiding54 cited
  • 2007Efficient implementation of an active set algorithm for large-scale portfolio selection49 cited
  • 2008Fuzzy Portfolio Optimization: Theory and Methods47 cited
  • 2009A DEA-BASED APPROACH TO RANKING MULTI-CRITERIA ALTERNATIVES

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

42 cited
  • 1983Managing Investment Portfolios41 cited
  • Cited by

    • 2020A python-based multicriteria portfolio selection DSS32 cited