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A model for portfolio selection with order of expected returns
7 references·16 citing·42 second hop
A model for portfolio selection with order of expected returns (2000)A model for portfolio selection with orde…THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionPortfolio selection: a fuzzy-ANP approach (2020)Portfolio selection: a fuzzy-…Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization (2020)Minimax and Biobjective Portf…A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)A comprehensive review of det…A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)A possibilistic mean-semivari…A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns (2009)A hybrid intelligent algorith…Portfolio selection under possibilistic mean–variance utility and a SMO algorithm (2008)Portfolio selection under pos…Portfolio selection based on fuzzy cross-entropy (2008)Portfolio selection based on …Portfolio optimization of equity mutual funds with fuzzy return rates and risks (2008)Portfolio optimization of equ…Fuzzy portfolio selection using fuzzy analytic hierarchy process (2008)Fuzzy portfolio selection usi…Risk curve and fuzzy portfolio selection (2007)Risk curve and fuzzy portfoli…Portfolio selection with a new definition of risk (2007)Portfolio selection with a ne…A new perspective for optimal portfolio selection with random fuzzy returns (2007)A new perspective for optimal…Portfolio algorithm based on portfolio beta using genetic algorithm (2005)Portfolio algorithm based on …On admissible efficient portfolio selection policy (2005)On admissible efficient portf…Using genetic algorithm to support portfolio optimization for index fund management (2004)Using genetic algorithm to su…A minimax portfolio selection strategy with equilibrium (2004)A minimax portfolio selection…PORTFOLIO SELECTION* (1952)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Product-form design model based on genetic algorithms (2010)CAST: Using neural networks to improve trading systems based on technical analysis by means of the RSI financial indicator (2011)A brief review of portfolio optimization techniques (2022)The capital asset pricing model: Some empirical tests (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)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 (1965)The Prediction of Systematic and Specific Risk in Common Stocks (1973)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)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)Fuzzy sets (1965)Fuzzy sets (1996)A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels (2016)Fuzzy multi-period portfolio selection with different investment horizons (2016)Stochastic Network Programming for Financial Planning Problems (1992)Multi-stage stochastic linear programs for portfolio optimization (1993)Local Search Techniques for Constrained Portfolio Selection Problems (2002)Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)Mutual Fund Performance (1966)Optimization of conditional value-at-risk (2000)Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures (2019)A Comprehensive Survey on Portfolio Optimization, Stock Price and Trend Prediction Using Particle Swarm Optimization (2020)A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)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
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS192 cited

Cited by

  • 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization184 cited
  • 2004Using genetic algorithm to support portfolio optimization for index fund management181 cited
  • 2012A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs167 cited
  • 2008Fuzzy portfolio selection using fuzzy analytic hierarchy process164 cited
  • 2020Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization141 cited
  • 2008Portfolio selection based on fuzzy cross-entropy140 cited
  • 2020Portfolio selection: a fuzzy-ANP approach123 cited
  • 2004

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A minimax portfolio selection strategy with equilibrium
114 cited
  • 2007Portfolio selection with a new definition of risk106 cited
  • 2007A new perspective for optimal portfolio selection with random fuzzy returns99 cited
  • 2007Risk curve and fuzzy portfolio selection92 cited
  • 2008Portfolio optimization of equity mutual funds with fuzzy return rates and risks90 cited
  • 2008Portfolio selection under possibilistic mean–variance utility and a SMO algorithm84 cited
  • 2005Portfolio algorithm based on portfolio beta using genetic algorithm77 cited
  • 2005On admissible efficient portfolio selection policy75 cited
  • 2009A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns74 cited