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Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk
16 references·4 citing·31 second hop
Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk (2018)Mean–variance, mean–VaR, and mean–CVaR mo…Household Finance (2006)Household FinancePortfolio Choice in the Presence of Housing (2004)Portfolio Choice in the Prese…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…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…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Overview of Value at Risk (1997)An Overview of Value at RiskValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Foundations for Financial Economics. (1989)Foundations for Financial Eco…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…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*Research on credit rating and risk measurement of electricity retailers based on Bayesian Best Worst Method-Cloud Model and improved Credit Metrics model in China's power market (2022)Research on credit rating and…Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis Under Credibilistic Framework (2020)Multiobjective Fuzzy Portfoli…A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns (2020)A Credibilistic Fuzzy DEA App…How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk (2019)How does background risk affe…Aspects of the Theory of Risk-Bearing. (1966)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)A Note on Uncertainty and Indifference Curves (1969)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)Risk Aversion in the Small and in the Large (1964)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Common risk factors in the returns on stocks and bonds (1993)The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior (2001)Trusting the Stock Market (2005)Baby Boomer retirement security: The roles of planning, financial literacy, and housing wealth (2007)Financial Literacy and Stock Market Participation (2007)The Economic Importance of Financial Literacy: Theory and Evidence (2014)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)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)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2006Household Finance2,391 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2004Portfolio Choice in the Presence of Housing1,004 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1989

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Foundations for Financial Economics.
831 cited

Cited by

  • 2020Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis Under Credibilistic Framework58 cited
  • 2019How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk45 cited
  • 2022Research on credit rating and risk measurement of electricity retailers based on Bayesian Best Worst Method-Cloud Model and improved Credit Metrics model in China's power market41 cited
  • 2020A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns38 cited