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Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market

Konno, Hiroshi - In: Management science : journal of the Institute for … 37 (1991) 5, pp. 519-531

Persistent link: https://www.econbiz.de/10001106902

Using possibilistic moments and bi-objective optimization metaheuristics to compute pessimistic and optimistic efficient portfolios/frontiers for fuzzy-valued returns of risky asse...

Georgescu, Vasile; Ştefan, Andreea-Mirabela - In: Fuzzy economic review : the review of the International … 25 (2020) 2, pp. 25-43

Persistent link: https://www.econbiz.de/10012628322

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

Persistent link: https://www.econbiz.de/10011867378

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950

On the price of risk in a mean-risk optimization model

Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713

Persistent link: https://www.econbiz.de/10012261905

f-Betas and portfolio optimization with f-divergence induced risk measures

Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496

Persistent link: https://www.econbiz.de/10014419172

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063