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Mean-Semivariance Optimization: A Heuristic Approach
14 references·10 citing·38 second hop
Mean-Semivariance Optimization: A Heuristic Approach (2007)Mean-Semivariance Optimization: A Heurist…Downside Risk in Practice (2006)Downside Risk in PracticeMean-semivariance behavior: Downside risk and capital asset pricing (2005)Mean-semivariance behavior: D…Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…Computation of mean-semivariance efficient sets by the Critical Line Algorithm (1993)Computation of mean-semivaria…Asset Allocation in a Downside-Risk Framework (1991)Asset Allocation in a Downsid…SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …Computation of the Efficient Boundary in the E-S Portfolio Selection Model (1972)Computation of the Efficient …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices (2023)Dynamic inflation hedging per…PyPortfolioOpt: portfolio optimization in Python (2021)PyPortfolioOpt: portfolio opt…Incorporating environmental and social considerations into the portfolio optimization process (2020)Incorporating environmental a…Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules (2017)Mean-semivariance portfolio o…Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making (2016)Sustainability-Oriented Finan…Robust analysis for downside risk in portfolio management for a volatile stock market (2014)Robust analysis for downside …Portfolio optimization in an upside potential and downside risk framework (2013)Portfolio optimization in an …The Morality of Risk Modeling (2011)The Morality of Risk ModelingInfrastructure: a new dimension of real estate? An asset allocation analysis (2010)Infrastructure: a new dimensi…Geometric Mean Maximization: An Overlooked Portfolio Approach? (2010)Geometric Mean Maximization: …Safety First and the Holding of Assets (1952)Optimal rules for ordering uncertain prospects (1975)Capital market equilibrium in a mean-lower partial moment framework (1977)A linear model for tracking error minimization (1999)Increased Correlation in Bear Markets (2002)Risk Aversion in the Small and in the Large (1964)Shortfall as a risk measure: properties, optimization and applications (2003)Fuzzy portfolio optimization under downside risk measures (2006)Mean-semivariance models for fuzzy portfolio selection (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation (1977)Mean-Modified Value-at-Risk Optimization with Hedge Funds (2002)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Portfolio Selection (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)How to Use Security Analysis to Improve Portfolio Selection (1973)Delegated portfolio management (1985)Multi-objective stochastic programming for portfolio selection (2005)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)The Cross-Section of Expected Stock Returns (1992)The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii) (2001)Sharpe thinking in asset ranking with one-sided measures (2006)Theory of games and economic behavior (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Foundations of Portfolio Theory (1991)Oil prices and transport sector returns: an international analysis (2009)IDENTIFYING VULNERABILITY TO POVERTY: A CRITICAL SURVEY (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1991Asset Allocation in a Downside-Risk Framework398 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2000Asset Allocation in a Downside Risk Framework325 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited
  • 1999A Brief History of Downside Risk Measures308 cited
  • 2002Systematic risk in emerging markets: the D-CAPM300 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 2005Mean-semivariance behavior: Downside risk and capital asset pricing229 cited
  • 1993Computation of mean-semivariance efficient sets by the Critical Line Algorithm201 cited
  • 1972Computation of the Efficient Boundary in the E-S Portfolio Selection Model136 cited
  • 2006Downside Risk in Practice103 cited

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  • 2017Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules

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108 cited
  • 2020Incorporating environmental and social considerations into the portfolio optimization process85 cited
  • 2010Infrastructure: a new dimension of real estate? An asset allocation analysis75 cited
  • 2016Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making68 cited
  • 2013Portfolio optimization in an upside potential and downside risk framework52 cited
  • 2021PyPortfolioOpt: portfolio optimization in Python43 cited
  • 2014Robust analysis for downside risk in portfolio management for a volatile stock market35 cited
  • 2010Geometric Mean Maximization: An Overlooked Portfolio Approach?35 cited
  • 2023Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices15 cited
  • 2011The Morality of Risk Modeling11 cited