A General Framework for Portfolio Theory—Part I: Theory and Various Models
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jonathan M. Borwein & Qiji J. Zhu, 2016. "A Variational Approach to Lagrange Multipliers," Journal of Optimization Theory and Applications, Springer, vol. 171(3), pages 727-756, December.
- Stanislaus Maier-Paape, 2016. "Risk averse fractional trading using the current drawdown," Papers 1612.02985, arXiv.org.
- J. Tobin, 1958.
"Liquidity Preference as Behavior Towards Risk,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
- James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
- Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part II: drawdown risk measures," Papers 1710.04818, arXiv.org.
- Andreas Hermes & Stanislaus Maier-Paape, 2017. "Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative," Papers 1703.00476, arXiv.org.
- Andreas Hermes & Stanislaus Maier-Paape, 2017. "Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative," Risks, MDPI, vol. 5(3), pages 1-19, August.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu, 2019. "A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach," Risks, MDPI, vol. 7(2), pages 1-31, June.
- Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
- Sagara Dewasurendra & Pedro Judice & Qiji Zhu, 2019. "The Optimum Leverage Level of the Banking Sector," Risks, MDPI, vol. 7(2), pages 1-30, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part I: theory and various models," Papers 1710.04579, arXiv.org.
- Stanislaus Maier-Paape & Qiji Jim Zhu, 2018. "A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures," Risks, MDPI, vol. 6(3), pages 1-31, August.
- Schoch, Daniel, 2017. "Generalised mean-risk preferences," Journal of Economic Theory, Elsevier, vol. 168(C), pages 12-26.
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
- Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
- Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
- Barbara Glensk & Reinhard Madlener, 2018.
"Fuzzy Portfolio Optimization of Power Generation Assets,"
Energies, MDPI, vol. 11(11), pages 1-22, November.
- Glensk, Barbara & Madlener, Reinhard, 2010. "Fuzzy Portfolio Optimization for Power Generation Assets," FCN Working Papers 10/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, M., 2007. "Equilibrium with investors using a diversity of deviation measures," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3251-3268, November.
- Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
- Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
- Luciano de Castro & Antonio F. Galvao & Gabriel Montes-Rojas & Jose Olmo, 2022.
"Portfolio selection in quantile decision models,"
Annals of Finance, Springer, vol. 18(2), pages 133-181, June.
- Luciano De Castro & Antonio F. Galvao & Gabriel Montes Rojas & José Olmo, 2020. "Portfolio Selection in Quantile Decision Models," Working Papers 11, Red Nacional de Investigadores en Economía (RedNIE).
- Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
- Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part II: drawdown risk measures," Papers 1710.04818, arXiv.org.
- Gianfranco Guastaroba & Renata Mansini & Wlodzimierz Ogryczak & M. Grazia Speranza, 2020. "Enhanced index tracking with CVaR-based ratio measures," Annals of Operations Research, Springer, vol. 292(2), pages 883-931, September.
- Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
- Dipankar Mondal & N. Selvaraju, 2022. "Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(1), pages 225-248, March.
- Anders Johansson, 2009.
"An analysis of dynamic risk in the Greater China equity markets,"
Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
- Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, Stockholm School of Economics, China Economic Research Center.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018.
"Long Run Returns Predictability and Volatility with Moving Averages,"
Risks, MDPI, vol. 6(4), pages 1-18, September.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE 2018-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hany Shawky & Ronald Forbes & Alan Frankle, 1983. "Liquidity Services and Capital Market Equilibrium: The Case for Money Market Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 141-152, June.
- Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
More about this item
Keywords
convex programming; financial mathematics; risk measure; utility functions; efficient frontier; Markowitz portfolio theory; capital market pricing model; growth optimal portfolio; fractional Kelly allocation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:6:y:2018:i:2:p:53-:d:145135. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.