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A Universal Performance Measure
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  • 2022Frameworks and Results in Distributionally Robust Optimization505 cited
  • 2007Does the choice of performance measure influence the evaluation of hedge funds?424 cited
  • 2020Portfolio optimization with return prediction using deep learning and machine learning299 cited
  • 2018The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study270 cited
  • 2018Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach264 cited
  • 2013Conventional and Islamic stock price performance: An empirical investigation239 cited
  • 2015Risk management with expectiles223 cited
  • 2013Twenty years of linear programming based portfolio optimization218 cited
  • 2008Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance215 cited
  • 2019Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets184 cited
  • 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization184 cited
  • 2015Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies171 cited
  • 2021Should investors include green bonds in their portfolios? Evidence for the USA and Europe168 cited

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  • 2008Does the Measure Matter in the Mutual Fund Industry?155 cited
  • 2010Static portfolio choice under cumulative prospect theory155 cited
  • 2008Performance evaluation of portfolio insurance strategies using stochastic dominance criteria126 cited