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Portfolio optimization with mental accounts

Das, Sanjiv R.; Markowitz, Harry; Scheid, Jonathan; … - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 311-334

Persistent link: https://www.econbiz.de/10003990687

Portfolios for investors who want to reach their goals while staying on the mean-variance efficient frontier

Das, Sanjiv R.; Markowitz, Harry; Scheid, Jonathan; … - In: The journal of wealth management 14 (2011/12) 2, pp. 25-31

Persistent link: https://www.econbiz.de/10009295781

Exploring the behaviour of actively managed, maximally diversified portfolios

Theron, L.; Van Vuuren, Gary - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 44 (2020) 2, pp. 49-72

Persistent link: https://www.econbiz.de/10012613652

Spectral analysis and the death of value investing

Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

Persistent link: https://www.econbiz.de/10013184434

A risk-adjusted performance evaluation of US and EU hedge funds and associated equity markets over the 2007 - 2009 financial crisis

Van Heerden, Chris; Heymans, André; Van Vuuren, Gary; … - In: International business and economics research journal 13 (2014) 1, pp. 169-189

Persistent link: https://www.econbiz.de/10010251617

A note on semivariance

Jin, Hanqing; Markowitz, Harry; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 53-61

Persistent link: https://www.econbiz.de/10003336783

Portfolio selection

Markowitz, Harry - In: The journal of finance : the journal of the American … 7 (1952) 1, pp. 77-91

Persistent link: https://www.econbiz.de/10003818663

Portfolio theory : as I still see it

Markowitz, Harry - In: Annual review of financial economics 2 (2010), pp. 1-23

Persistent link: https://www.econbiz.de/10008797849

Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Does mean-variance portfoliomanagement deserve expected utility's approximative affirmation?

Loistl, Otto - In: European journal of operational research : EJOR 247 (2015) 2, pp. 676-680

Persistent link: https://www.econbiz.de/10011375808