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Fuzzy multi-period portfolio selection with different investment horizons
16 references·16 citing·36 second hopsampled
Fuzzy multi-period portfolio selection with different investment horizons (2016)Fuzzy multi-period portfolio selection wi…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Markowitz-based portfolio sel…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value at Risk (2000)Value at RiskOptimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…Entropy optimization principles with applications (1993)Entropy optimization principl…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A Deep Learning Based Expert Framework for Portfolio Prediction and Forecasting (2024)A Deep Learning Based Expert …Meta-heuristics for portfolio optimization (2023)Meta-heuristics for portfolio…A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure (2022)A novel approach to incorpora…Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels (2021)Multi-period portfolio select…Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms (2021)Building Intelligent Moving A…Adaptive online portfolio selection with transaction costs (2021)Adaptive online portfolio sel…A novel project portfolio selection framework towards organizational resilience: Robust Ordinal Priority Approach (2021)A novel project portfolio sel…Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory (2020)Multi-period portfolio select…A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems (2019)A multi-objective evolutionar…Modeling a two-stage supply contract problem in a hybrid uncertain environment (2018)Modeling a two-stage supply c…Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures (2018)Fuzzy multi-objective portfol…A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria (2018)A Novel Hybrid ICA-FA Algorit…A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms (2018)A new bi-objective fuzzy port…A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio (2018)A Multi-Objective Portfolio S…Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint (2017)Multi-period portfolio select…Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty (2016)Multi-period portfolio select…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)A Brief History of Downside Risk Measures (1999)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)A nonparametric model of random uncertainties for reduced matrix models in structural dynamics (2000)Random matrix theory for modeling uncertainties in computational mechanics (2004)Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators (2005)The Cross-Section of Expected Stock Returns (1992)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)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1993Entropy optimization principles with applications493 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2000Value at Risk313 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited

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2008
Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm
224 cited

Cited by

  • 2021A novel project portfolio selection framework towards organizational resilience: Robust Ordinal Priority Approach86 cited
  • 2017Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint82 cited
  • 2018A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms74 cited
  • 2018A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria62 cited
  • 2021Adaptive online portfolio selection with transaction costs60 cited
  • 2022A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure55 cited
  • 2023Meta-heuristics for portfolio optimization55 cited
  • 2016Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty54 cited
  • 2019A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems51 cited
  • 2018A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio48 cited
  • 2024A Deep Learning Based Expert Framework for Portfolio Prediction and Forecasting44 cited
  • 2021Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms43 cited
  • 2021Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels38 cited
  • 2018Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures36 cited
  • 2020Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory36 cited
  • 2018Modeling a two-stage supply contract problem in a hybrid uncertain environment21 cited