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Handling uncertainty through confidence intervals in portfolio optimization
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Handling uncertainty through confidence intervals in portfolio optimization (2018)Handling uncertainty through confidence i…60 Years of portfolio optimization: Practical challenges and current trends (2013)60 Years of portfolio optimiz…Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Particle Swarm Optimization (…Robust Portfolio Optimization and Management (2007)Robust Portfolio Optimization…Robust Asset Allocation (2004)Robust Asset AllocationWorst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Skewness in financial returns (1999)Skewness in financial returnsCoherent Measures of Risk (1999)Coherent Measures of RiskThe magical number seven, plus or minus two: Some limits on our capacity for processing information. (1994)The magical number seven, plu…Global Portfolio Optimization (1992)Global Portfolio OptimizationModels of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…A Random Walk Down Wall Street (1973)A Random Walk Down Wall StreetThe magical number seven, plus or minus two: Some limits on our capacity for processing information. (1956)The magical number seven, plu…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*An Analysis of Perceptual Confusions Among Some English Consonants (1955)Experimental Psychology (1955)A scaling method for priorities in hierarchical structures (1977)How to make a decision: The analytic hierarchy process (1990)The theory of planned behavior (1991)Preliminaries to speech analysis (2020)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (2017)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Downside Risk (2006)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)… and the Cross-Section of Expected Returns (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)The Determinants of Credit Spread Changes (2001)The Cross‐Section of Volatility and Expected Returns (2006)EXPERIMENTAL PSYCHOLOGY (1940)Working Memory (1974)Noise Trader Risk in Financial Markets (1990)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)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*18,429 cited
  • 1956The magical number seven, plus or minus two: Some limits on our capacity for processing information.17,866 cited
  • 1994The magical number seven, plus or minus two: Some limits on our capacity for processing information.17,469 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1973A Random Walk Down Wall Street1,751 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 201360 Years of portfolio optimization: Practical challenges and current trends641 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 2007Robust Portfolio Optimization and Management403 cited
  • 2004Robust Asset Allocation388 cited
  • 2011Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem338 cited

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  • 1999Skewness in financial returns292 cited
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