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Higher-order moments in portfolio selection problems: A comprehensive literature review
16 references·0 citing·25 second hop
Higher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portfolio selecti…Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Data-Driven Distributionally …Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …The Price of Robustness (2004)The Price of RobustnessLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Robust Convex Optimization (1998)Robust Convex OptimizationFractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Studies in Mathematical Theory of Inventory and Production (1959)Recent advances in robust optimization: An overview (2013)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Liquidity and leverage (2008)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Robust solutions of uncertain linear programs (1999)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)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
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2011Introduction to Stochastic Programming6,469 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2004The Price of Robustness4,620 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1998Robust Convex Optimization2,606 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation

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