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Portfolio Theory: As I Still See It
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Cited by:
- Yonghe Lu & Yanrong Yang & Terry Zhang, 2024. "Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy," Papers 2411.18830, arXiv.org.
- Qu, Xiangyu, 2017.
"Subjective mean–variance preferences without expected utility,"
Mathematical Social Sciences, Elsevier, vol. 87(C), pages 31-39.
- Xiangyu Qu, 2017. "Subjective Mean Variance Preferences Without Expected Utility," Post-Print hal-01461302, HAL.
- Xiangyu Qu, 2017. "Subjective Mean Variance Preferences Without Expected Utility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01461302, HAL.
- Paut, Raphaël & Sabatier, Rodolphe & Tchamitchian, Marc, 2019. "Reducing risk through crop diversification: An application of portfolio theory to diversified horticultural systems," Agricultural Systems, Elsevier, vol. 168(C), pages 123-130.
- Usman Ayub & Samaila Kausar & Umara Noreen & Muhammad Zakaria & Imran Abbas Jadoon, 2020. "Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
- Tuoyuan Cheng & Kan Chen, 2023. "A General Framework for Portfolio Construction Based on Generative Models of Asset Returns," Papers 2312.03294, arXiv.org.
- Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2021. "Why finance professionals hold green and brown assets? A lab-in-the-field experiment [Pourquoi investir dans le vert et le brun ? Une expérience sur des professionnels de la finance]," Working Papers hal-03285376, HAL.
- Viole, Fred & Nawrocki, David, 2013. "An analysis of heterogeneous utility benchmarks in a zero return environment," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 190-198.
- Christoph Czichowsky & Martin Herdegen & David Martins, 2024. "Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets," Papers 2408.03134, arXiv.org.
- Ankit Dangi, 2013. "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?," Papers 1301.4194, arXiv.org.
- Susanne Neuner & Thomas Knoke, 2017. "Economic consequences of altered survival of mixed or pure Norway spruce under a dryer and warmer climate," Climatic Change, Springer, vol. 140(3), pages 519-531, February.
- Ashfaq, Saira & Ayub, Usman & Mujtaba, Ghulam & Raza, Naveed & Gulzar, Saqib, 2021. "Gainers and losers with higher order portfolio risk optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
- Ochoa. M, W. Santiago & Härtl, Fabian H. & Paul, Carola & Knoke, Thomas, 2019. "Cropping systems are homogenized by off-farm income – Empirical evidence from small-scale farming systems in dry forests of southern Ecuador," Land Use Policy, Elsevier, vol. 82(C), pages 204-219.
- Fima Klebaner & Zinoviy Landsman & Udi Makov & Jing Yao, 2017. "Optimal portfolios with downside risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 315-325, March.
- Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
- Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2022.
"Risk-return trade-offs in the context of environmental impact: a lab-in-the-field experiment with finance professionals,"
Working Papers
hal-03883121, HAL.
- Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2022. "Risk-return trade-offs in the context of environmental impact: a lab-in-the-field experiment with finance professionals," CEE-M Working Papers hal-03883121, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
- Knoke, Thomas & Paul, Carola & Härtl, Fabian & Castro, Luz Maria & Calvas, Baltazar & Hildebrandt, Patrick, 2015. "Optimizing agricultural land-use portfolios with scarce data—A non-stochastic model," Ecological Economics, Elsevier, vol. 120(C), pages 250-259.
- Dennery, Charles & Direr, Alexis, 2014. "Optimal lottery," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 15-23.
- Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2021.
"Why finance professionals hold green and brown assets? A lab-in-the-field experiment [Pourquoi investir dans le vert et le brun ? Une expérience sur des professionnels de la finance],"
Working Papers
hal-03285376, HAL.
- Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2021. "Why finance professionals hold green and brown assets? A lab-in-the-field experiment [Pourquoi investir dans le vert et le brun ? Une expérience sur des professionnels de la finance]," CEE-M Working Papers hal-03285376, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Westphal, Igor, 2024. "The effects of reducing renewable power intermittency through portfolio diversification," Renewable and Sustainable Energy Reviews, Elsevier, vol. 197(C).
- Kassimatis, Konstantinos, 2021. "Mean-variance versus utility maximization revisited: The case of constant relative risk aversion," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Friedrich, Stefan & Paul, Carola & Brandl, Susanne & Biber, Peter & Messerer, Katharina & Knoke, Thomas, 2019. "Economic impact of growth effects in mixed stands of Norway spruce and European beech – A simulation based study," Forest Policy and Economics, Elsevier, vol. 104(C), pages 65-80.
- Muhammad Amjed Iqbal & Muhammad Rizwan & Azhar Abbas & Muhammad Sohail Amjad Makhdum & Rakhshanda Kousar & Muhammad Nazam & Abdus Samie & Nasir Nadeem, 2021. "A Quest for Livelihood Sustainability? Patterns, Motives and Determinants of Non-Farm Income Diversification among Agricultural Households in Punjab, Pakistan," Sustainability, MDPI, vol. 13(16), pages 1-14, August.
- Boyang Lu, Garrick Louis, 2024. "Portfolio Agriculture: A Model for Resilient Regional Agricultural Planning," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 5(4), October.
- Peel, D.A., 2013. "Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets," Economics Letters, Elsevier, vol. 119(3), pages 264-267.
- Charles E. Phelps, 2023. "Optimal health insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(1), pages 213-241, March.
- George Samartzis & Nikitas Pittis, 2022. "On The Equivalence Of The Mean Variance Criterion And Stochastic Dominance Criteria," Papers 2211.01240, arXiv.org.
- José Alex Gualotuña Parra & Omar Valverde-Arias & Ana M. Tarquis & Juan B. Grau Olivé & Federico Colombo Speroni & Antonio Saa-Requejo, 2023. "Combining Markowitz Portfolio Model and Simplex Algorithm to Achieve Sustainable Land Management Objectives: Case Study of Rivadavia Banda Norte, Salta (Argentina)," Sustainability, MDPI, vol. 15(14), pages 1-22, July.
- Reus, Lorenzo & Mulvey, John M., 2016. "Dynamic allocations for currency futures under switching regimes signals," European Journal of Operational Research, Elsevier, vol. 253(1), pages 85-93.
- Hector O. Zapata & Supratik Mukhopadhyay, 2022. "A Bibliometric Analysis of Machine Learning Econometrics in Asset Pricing," JRFM, MDPI, vol. 15(11), pages 1-17, November.
- Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
- Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
- Dimitris Bertsimas & Agni Orfanoudaki, 2021. "Algorithmic Insurance," Papers 2106.00839, arXiv.org, revised Dec 2022.
- Luz Maria Castro & Baltazar Calvas & Thomas Knoke, 2015. "Ecuadorian Banana Farms Should Consider Organic Banana with Low Price Risks in Their Land-Use Portfolios," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-23, March.
- Xue-Zhong He, 2019. "Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1397-1401, April.
- Lu, Boyang; Louis, Garrick, 2024. "Portfolio Agriculture: A Model for Resilient Regional Agricultural Planning," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 5(4), October.
- Nawrocki, David & Viole, Fred, 2024. "Estimation error and partial moments," International Review of Financial Analysis, Elsevier, vol. 95(PB).