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Optimization of investment portfolio management
16 references·2 citing·38 second hop
Optimization of investment portfolio management (2019)Optimization of investment portfolio mana…Dynamic portfolio allocation with time-varying jump risk (2019)Dynamic portfolio allocation …A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)A comprehensive review of det…When Factors Do Not Span Their Basis Portfolios (2018)When Factors Do Not Span Thei…Portfolio optimization based on stochastic dominance and empirical likelihood (2018)Portfolio optimization based …Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (2018)Estimation risk for the VaR o…Playing Favorites: Conflicts of Interest in Mutual Fund Management (2017)Playing Favorites: Conflicts …Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology (2016)Assessing mutual funds’ corpo…Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment (2015)Multi-criteria decision makin…The Pontryagin maximum principle and optimal economic growth problems (2007)The Pontryagin maximum princi…Value at Risk: Theory and Practice (2003)Value at Risk: Theory and Pra…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets (1984)Mean-Gini, Portfolio Theory, …Objectives, Constraints, and Outcomes in Optimal Growth Models (1969)Objectives, Constraints, and …Objectives, Constraints, and Outcomes in Optimal Growth Models (1967)Objectives, Constraints, and …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A New Approach to University IT Project Portfolio Management Based on Multi-Criteria Methods and the COBIT 5 Governance Framework (2023)A New Approach to University …Casual analysis of financial and operational risks of oil and gas companies in condition of emergent economy (2020)Casual analysis of financial …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Marginal Conditional Stochastic Dominance (1994)Gini's Mean difference: a superior measure of variability for non-normal distributions (2003)Beyond Sharpe ratio: Optimal asset allocation using different performance ratios (2008)Endogenous Technological Change (1989)Endogenous Technological Change (1990)Investment Under Uncertainty. (1994)A Mathematical Theory of Saving (1928)Stationary Ordinal Utility and Impatience (1960)Optimum Growth in an Aggregative Model of Capital Accumulation (1965)An Inquiry into Well-Being and Destitution (1995)Energy, the Environment and US Economic Growth (2013)Targets for global climate policy: An overview (2013)Mutual Fund Performance (1966)Optimization of conditional value-at-risk (2000)Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures (2019)A Comprehensive Survey on Portfolio Optimization, Stock Price and Trend Prediction Using Particle Swarm Optimization (2020)A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Modeling and Forecasting Realized Volatility (2003)Risks and Portfolio Decisions Involving Hedge Funds (2003)Separation of Ownership and Control (1983)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Management sub-advising in the mutual fund industry (2018)Trading out of sight: An analysis of cross-trading in mutual fund families (2019)The Corporate Objective Revisited: The Shareholder Perspective (2021)Measuring Market Risk (2005)Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)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)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
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices858 cited
  • 2003Value at Risk: Theory and Practice325 cited
  • 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets222 cited
  • 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization184 cited
  • 1967Objectives, Constraints, and Outcomes in Optimal Growth Models183 cited
  • 2007The Pontryagin maximum principle and optimal economic growth problems178 cited
  • 1969Objectives, Constraints, and Outcomes in Optimal Growth Models167 cited
  • 2017Playing Favorites: Conflicts of Interest in Mutual Fund Management67 cited
  • 2015Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment57 cited
  • 2018Portfolio optimization based on stochastic dominance and empirical likelihood48 cited
  • 2016Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology41 cited
  • 2019Dynamic portfolio allocation with time-varying jump risk26 cited

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2018
When Factors Do Not Span Their Basis Portfolios
23 cited
  • 2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models21 cited
  • Cited by

    • 2020Casual analysis of financial and operational risks of oil and gas companies in condition of emergent economy12 cited
    • 2023A New Approach to University IT Project Portfolio Management Based on Multi-Criteria Methods and the COBIT 5 Governance Framework8 cited