Portfolio Analysis with Factors and Scenarios
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Cited by:
- Chen, Yu-Wang & Poon, Ser-Huang & Yang, Jian-Bo & Xu, Dong-Ling & Zhang, Dongxu & Acomb, Simon, 2012. "Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints," European Journal of Operational Research, Elsevier, vol. 223(3), pages 775-784.
- Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54, January.
- Perez Gladish, B. & Jones, D.F. & Tamiz, M. & Bilbao Terol, A., 2007. "An interactive three-stage model for mutual funds portfolio selection," Omega, Elsevier, vol. 35(1), pages 75-88, February.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2015. "Informatics, Data Mining, Econometrics and Financial Economics: A Connection," Econometric Institute Research Papers EI2015-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Jarrod Wilcox & Frank Fabozzi, 2009. "A Discretionary Wealth Approach to Investment Policy," Yale School of Management Working Papers amz2434, Yale School of Management.
- Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
- Panos Xidonas & George Mavrotas, 2014. "Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1229-1242, July.
- Luis Rios & Nikolaos Sahinidis, 2010. "Portfolio optimization for wealth-dependent risk preferences," Annals of Operations Research, Springer, vol. 177(1), pages 63-90, June.
- Zhihui Lv & Amanda M. Y. Chu & Wing Keung Wong & Thomas C. Chiang, 2021. "The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio," Risk Management, Palgrave Macmillan, vol. 23(1), pages 97-122, June.
- A Bilbao & M Arenas & M Jiménez & B Perez Gladish & M V Rodríguez, 2006. "An extension of Sharpe's single-index model: portfolio selection with expert betas," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(12), pages 1442-1451, December.
- Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2005. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions," Operations Research, INFORMS, vol. 53(4), pages 586-599, August.
- Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2018.
"Multiobjective portfolio optimization: bridging mathematical theory with asset management practice,"
Annals of Operations Research, Springer, vol. 267(1), pages 585-606, August.
- Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2016. "Multiobjective portfolio optimization: bridging mathematical theory with asset management practice," Post-Print hal-02879921, HAL.
- Li, Hua & Bai, Zhidong & Wong, Wing-Keung & McAleer, Michael, 2022.
"Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization,"
Econometrics and Statistics, Elsevier, vol. 24(C), pages 133-150.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization," Documentos de Trabajo del ICAE 2017-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers 16-025/III, Tinbergen Institute.
- Bai, Z. & Li, H. & McAleer, M.J. & Wong, W.-K., 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometric Institute Research Papers EI2016-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
- Jarrod Wilcox & Frank Fabozzi, 2009. "A Discretionary Wealth Approach to Investment Policy," Yale School of Management Working Papers amz2434, Yale School of Management.
- Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
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