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Multi-period mean–semivariance portfolio optimization based on uncertain measure
16 references·1 citing·34 second hop
Multi-period mean–semivariance portfolio optimization based on uncertain measure (2018)Multi-period mean–semivariance portfolio …A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)A multi-period fuzzy portfoli…Single-period inventory problem under uncertain environment (2013)Single-period inventory probl…Dynamic mean–variance portfolio selection with borrowing constraint (2009)Dynamic mean–variance portfol…Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation (2004)Risk Control Over Bankruptcy …A possibilistic approach to selecting portfolios with highest utility score (2002)A possibilistic approach to s…The efficient frontier for bounded assets (2000)The efficient frontier for bo…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…Multi-stage stochastic linear programs for portfolio optimization (1993)Multi-stage stochastic linear…Computation of mean-semivariance efficient sets by the Critical Line Algorithm (1993)Computation of mean-semivaria…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity (2022)Multi-period portfolio select…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Local Search Techniques for Constrained Portfolio Selection Problems (2002)Mean-Semivariance Optimization: A Heuristic Approach (2007)Portfolio selection based on fuzzy cross-entropy (2008)PORTFOLIO SELECTION* (1952)Risk Aversion in the Small and in the Large (1964)Shortfall as a risk measure: properties, optimization and applications (2003)Fuzzy portfolio optimization under downside risk measures (2006)Mean-semivariance models for fuzzy portfolio selection (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Portfolio Selection (1952)Intransitivity of preferences. (1969)Asset portfolio optimization using fuzzy mathematical programming (2007)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Dynamic stochastic programmingfor asset-liability management (1998)Robust multiperiod portfolio management in the presence of transaction costs (2006)An MCDM approach to portfolio optimization (2003)Simulated annealing for complex portfolio selection problems (2003)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

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  • 2004Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation167 cited
  • 2009Dynamic mean–variance portfolio selection with borrowing constraint111 cited
  • 2013Single-period inventory problem under uncertain environment106 cited
  • 2014

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A multi-period fuzzy portfolio optimization model with minimum transaction lots
106 cited
  • 2000The efficient frontier for bounded assets105 cited
  • Cited by

    • 2022Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity37 cited