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Probabilistic approach for optimal portfolio selection using a hybrid Monte Carlo simulation and Markowitz model
16 references·0 citing·45 second hop
Probabilistic approach for optimal portfolio selection using a hybrid Monte Carlo simulation and Markowitz model (2020)Probabilistic approach for optimal portfo…The impact of globalization, natural resources abundance, and human capital on financial development: Evidence from thirty-one OECD countries (2019)The impact of globalization, …Investment under uncertainty with financial constraints (2019)Investment under uncertainty …Characteristics are covariances: A unified model of risk and return (2019)Characteristics are covarianc…A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)A comprehensive review of det…The Psychology and Neuroscience of Financial Decision Making (2016)The Psychology and Neuroscien…Financial markets with volatility uncertainty (2014)Financial markets with volati…An economic–probabilistic model for project selection and prioritization (2014)An economic–probabilistic mod…Portfolio rebalancing with an investment horizon and transaction costs (2012)Portfolio rebalancing with an…Essentials of Monte Carlo Simulation: Statistical Methods for Building Simulation Models (2012)Essentials of Monte Carlo Sim…Acquiring financial resources from foreign equity capital markets: An examination of factors influencing foreign initial public offerings (2006)Acquiring financial resources…Post-Modern Portfolio Theory Comes of Age (1994)Post-Modern Portfolio Theory …Global Portfolio Optimization (1992)Global Portfolio OptimizationAn Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…AN EXTENSION OF THE MARKOWITZ PORTFOLIO SELECTION MODEL TO INCLUDE VARIABLE TRANSACTIONS' COSTS, SHORT SALES, LEVERAGE POLICIES AND TAXES (1970)AN EXTENSION OF THE MARKOWITZ…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)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. 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(2023)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)Finance and Growth: Schumpeter Might Be Right (1993)General Diagnostic Tests for Cross Section Dependence in Panels (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Indonesia Education Readiness Conducting Distance Learning in Covid-19 Pandemic Situation (2020)The dynamic links among energy transitions, energy consumption, and sustainable economic growth: A novel framework for IEA countries (2021)A study of trilemma energy balance, clean energy transitions, and economic expansion in the midst of environmental sustainability: New insights from three trilemma leadership (2022)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)A new perspective for optimal portfolio selection with random fuzzy returns (2007)Portfolio selection with a new definition of risk (2007)Risk curve and fuzzy portfolio selection (2007)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Conditional value-at-risk for general loss distributions (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)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 2019Characteristics are covariances: A unified model of risk and return807 cited
  • 2019The impact of globalization, natural resources abundance, and human capital on financial development: Evidence from thirty-one OECD countries268 cited
  • 2016The Psychology and Neuroscience of Financial Decision Making230 cited
  • 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization184 cited
  • 1970AN EXTENSION OF THE MARKOWITZ PORTFOLIO SELECTION MODEL TO INCLUDE VARIABLE TRANSACTIONS' COSTS, SHORT SALES, LEVERAGE POLICIES AND TAXES154 cited
  • 1994Post-Modern Portfolio Theory Comes of Age133 cited
  • 2012Portfolio rebalancing with an investment horizon and transaction costs118 cited
  • 2012Essentials of Monte Carlo Simulation: Statistical Methods for Building Simulation Models98 cited
  • 2014Financial markets with volatility uncertainty95 cited
  • 2006Acquiring financial resources from foreign equity capital markets: An examination of factors influencing foreign initial public offerings94 cited

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  • 2014An economic–probabilistic model for project selection and prioritization92 cited
  • 2019Investment under uncertainty with financial constraints91 cited
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