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A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices
16 references·0 citing·22 second hop
A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices (2019)A hybrid combinatorial approach to a two-…Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Coherent Measures of Risk (1999)Coherent Measures of RiskOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Global Portfolio Optimization (1992)Global Portfolio OptimizationTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Does the Stock Market Overreact? (1985)PORTFOLIO SELECTION* (1952)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)Lectures on Stochastic Programming (2009)Theory and Applications of Robust Optimization (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1999Coherent Measures of Risk8,849 cited
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  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
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  • 2012Size, value, and momentum in international stock returns1,837 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets

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