Xidonas, Panagiotis; Mavrotas, George; Zopounidis, … - In: European Journal of Operational Research 210 (2011) 2, pp. 398-409
A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected return and portfolio variance. According to this model and according to most of the...