SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Capital Growth and the Mean-Variance Approach to Portfolio Selection
11 references·16 citing·39 second hop
Capital Growth and the Mean-Variance Approach to Portfolio Selection (1971)Capital Growth and the Mean-Variance Appr…Theory of games and economic behavior (2019)Theory of games and economic …OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…The Random Character of Stock Market Prices (1968)The Random Character of Stock…Risk and Uncertainty (1968)Risk and UncertaintyOptimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…An Empirical Evaluation of Alternative Portfolio-Selection Models (1967)An Empirical Evaluation of Al…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)An Expected Gain-Confidence L…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (2014)Robust optimal strategies for…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2012)On efficiency of mean–varianc…Dynamic mean–variance portfolio selection with borrowing constraint (2009)Dynamic mean–variance portfol…Mean‐variance trade‐offs in supply contracts (2006)Mean‐variance trade‐offs in s…Chapter 3 Capital growth theory (1995)Chapter 3 Capital growth theo…An algorithm for maximizing expected log investment return (1984)An algorithm for maximizing e…A General Mean-Variance Approximation to Expected Utility for Short Holding Periods (1981)A General Mean-Variance Appro…The Geometric Mean and Stochastic Dominance (1980)The Geometric Mean and Stocha…Competitive Optimality of Logarithmic Investment (1980)Competitive Optimality of Log…Gains from Portfolio Diversification into Less Developed Countries' Securities (1977)Gains from Portfolio Diversif…Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere. (1975)Portfolio Choice and the Kell…MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY† (1975)MARKET EQUILIBRIUM IN A MULTI…A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION (1975)A BAYESIAN MODEL FOR PORTFOLI…EVIDENCE ON THE “GROWTH‐OPTIMUM” MODEL (1973)EVIDENCE ON THE “GROWTH‐OPTIM…DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Safety First and the Holding of Assets (1952)Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations (1962)The variation of certain speculative prices (1997)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009)RETRACTED: Common risk factors in the cross-section of corporate bond returns (2018)Theory of Games and Economic Behavior (1946)Risk Aversion in the Small and in the Large (1964)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Risk Aversion in the Small and in the Large (1976)Modern portfolio theory, 1950 to date (2011)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)THE DEMAND FOR RISKY ASSETS (1977)A Benchmark Approach to Quantitative Finance (2006)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)
this work references cited by second hop

References

  • 2019Theory of games and economic behavior16,630 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1945Theory of Games and Economic Behavior4,006 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1963An Expected Gain-Confidence Limit Criterion for Portfolio Selection429 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1967An Empirical Evaluation of Alternative Portfolio-Selection Models275 cited
  • 1968Risk and Uncertainty41 cited

Cited by

  • 1980Competitive Optimality of Logarithmic Investment153 cited
  • 1984An algorithm for maximizing expected log investment return148 cited
  • 1981A General Mean-Variance Approximation to Expected Utility for Short Holding Periods146 cited
  • 1975Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere.

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

144 cited
  • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
  • 1977Gains from Portfolio Diversification into Less Developed Countries' Securities127 cited
  • 2009Dynamic mean–variance portfolio selection with borrowing constraint111 cited
  • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
  • 2006Mean‐variance trade‐offs in supply contracts83 cited
  • 1973EVIDENCE ON THE “GROWTH‐OPTIMUM” MODEL81 cited
  • 2014Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria80 cited
  • 1975MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†75 cited
  • 1980The Geometric Mean and Stochastic Dominance70 cited
  • 1975A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION69 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 2012Online Portfolio Selection: A Survey68 cited