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Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
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Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (2016)Portfolio selection based on a benchmark …Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics (2015)Portfolio selection problem w…Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (2011)Multi-period mean-variance po…Optimal Dynamic Trading Strategies with Risk Limits (2007)Optimal Dynamic Trading Strat…Risk Management with Benchmarking (2006)Risk Management with Benchmar…Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation (2004)Risk Control Over Bankruptcy …Optimal portfolio selection and dynamic benchmark tracking (2004)Optimal portfolio selection a…Optimal portfolios under a value-at-risk constraint (2003)Optimal portfolios under a va…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review (2019)Improved Covariance Matrix Es…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Conditional value-at-risk for general loss distributions (2002)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)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)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)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
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  • 2007Optimal Dynamic Trading Strategies with Risk Limits154 cited
  • 2004Optimal portfolio selection and dynamic benchmark tracking139 cited
  • 2003Optimal portfolios under a value-at-risk constraint122 cited
  • 2006Risk Management with Benchmarking117 cited
  • 2011Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon

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44 cited
  • 2015Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics33 cited
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    • 2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review28 cited