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Analysis of new approaches used in portfolio optimization: a systematic literature review
16 references·0 citing·38 second hop
Analysis of new approaches used in portfolio optimization: a systematic literature review (2020)Analysis of new approaches used in portfo…Portfolio optimization with return prediction using deep learning and machine learning (2020)Portfolio optimization with r…Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)Blind to carbon risk? An anal…Adaptive stock trading strategies with deep reinforcement learning methods (2020)Adaptive stock trading strate…Decision-making for financial trading: A fusion approach of machine learning and portfolio selection (2018)Decision-making for financial…Machine Learning and Portfolio Optimization (2016)Machine Learning and Portfoli…Twenty years of linear programming based portfolio optimization (2013)Twenty years of linear progra…Vast Portfolio Selection With Gross-Exposure Constraints (2012)Vast Portfolio Selection With…The 1/N investment strategy is optimal under high model ambiguity (2011)The 1/N investment strategy i…Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Ambiguity in portfolio selection (2007)Ambiguity in portfolio select…Conditional value-at-risk: optimization algorithms and applications (2002)Conditional value-at-risk: op…Fuzzy sets (1996)Fuzzy setsFuzzy sets (1965)Fuzzy setsPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection (1952)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Selection of resilient supply portfolio under disruption risks (2012)Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming (2019)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Financial news predicts stock market volatility better than close price (2018)The Cross-Section of Expected Stock Returns (1992)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (2012)Approaching Mean-Variance Efficiency for Large Portfolios (2015)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Pricing of Options and Corporate Liabilities (1973)Climate Change and the Financial System (2020)Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis (2021)Climate‐related risks in financial assets (2022)Portfolio Selection: Efficient Diversification of Investments (1959)Deep learning with long short-term memory networks for financial market predictions (2017)Forecasting stock market for an efficient portfolio by combining XGBoost and Hilbert–Huang transform (2022)Financial applications of machine learning: A literature review (2023)Prediction based mean-value-at-risk portfolio optimization using machine learning regression algorithms for multi-national stock markets (2023)Extensions of the TOPSIS for group decision-making under fuzzy environment (2000)An approach for detecting, quantifying, and visualizing the evolution of a research field: A practical application to the Fuzzy Sets Theory field (2010)Science mapping software tools: Review, analysis, and cooperative study among tools (2011)Family resemblances: Studies in the internal structure of categories (1975)Basic objects in natural categories (1976)Soft set theory—First results (1999)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
  • 2002Conditional value-at-risk: optimization algorithms and applications382 cited
  • 2020Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement351 cited
  • 2012Vast Portfolio Selection With Gross-Exposure Constraints337 cited
  • 2020Portfolio optimization with return prediction using deep learning and machine learning299 cited
  • 2016Machine Learning and Portfolio Optimization284 cited
  • 2018Decision-making for financial trading: A fusion approach of machine learning and portfolio selection276 cited
  • 2020Adaptive stock trading strategies with deep reinforcement learning methods263 cited
  • 2007Ambiguity in portfolio selection261 cited
  • 2011The 1/N investment strategy is optimal under high model ambiguity221 cited

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  • 2013Twenty years of linear programming based portfolio optimization218 cited
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