Portfolio selection in multidimensional general and partial moment space (Q964574): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jedc.2009.11.001
+Normal rank
@@ Property / OpenAlex ID @@
+W2099323358
@@ Property / OpenAlex ID: W2099323358 / rank @@
+Normal rank
@@ Property / cites work @@
+Infeasibility and directional distance functions with application to the determinateness of the Luenberger productivity indicator
+Normal rank
@@ Property / cites work @@
+Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
+Normal rank
@@ Property / cites work @@
+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
+Normal rank
@@ Property / cites work @@
+A Class of Utility Functions Containing all the Common Utility Functions
+Normal rank
@@ Property / cites work @@
+Risk, Return, Skewness and Preference
@@ Property / cites work: Risk, Return, Skewness and Preference / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed risk aversion
@@ Property / cites work: Mixed risk aversion / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
+Normal rank
@@ Property / cites work @@
+Comparative mixed risk aversion: Definition and application to self-protection and willingness to pay
+Normal rank
@@ Property / cites work @@
+Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
+Normal rank
@@ Property / cites work @@
+On goodness-of-fit tests for weakly dependent processes using kernel method
+Normal rank
@@ Property / cites work @@
+Nonparametric tests of regularity, Farrell efficiency, and goodness-of-fit
+Normal rank
@@ Property / cites work @@
+A Test of the Efficiency of a Given Portfolio
@@ Property / cites work: A Test of the Efficiency of a Given Portfolio / rank @@
+Normal rank
@@ Property / cites work @@
+Third Degree Stochastic Dominance and Mean-Risk Analysis
+Normal rank
@@ Property / cites work @@
+A Theory of Disappointment Aversion
@@ Property / cites work: A Theory of Disappointment Aversion / rank @@
+Normal rank
@@ Property / cites work @@
+Q3539512
@@ Property / cites work: Q3539512 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
+Normal rank
@@ Property / cites work @@
+Prospect Theory: An Analysis of Decision under Risk
+Normal rank
@@ Property / cites work @@
+A mean-absolute deviation-skewness portfolio optimization model
+Normal rank
@@ Property / cites work @@
+Stochastic Dominance
@@ Property / cites work: Stochastic Dominance / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric testing of closeness between two unknown distribution functions
+Normal rank
@@ Property / cites work @@
+TSD-consistent performance assessment of mutual funds
+Normal rank
@@ Property / cites work @@
+An approach to nonlinear programming
@@ Property / cites work: An approach to nonlinear programming / rank @@
+Normal rank
@@ Property / cites work @@
+Benefit functions and duality
@@ Property / cites work: Benefit functions and duality / rank @@
+Normal rank
@@ Property / cites work @@
+Q4902563
@@ Property / cites work: Q4902563 / rank @@
+Normal rank
@@ Property / cites work @@
+Global optimization of higher order moments in portfolio selection
+Normal rank
@@ Property / cites work @@
+Increasing outer risk
@@ Property / cites work: Increasing outer risk / rank @@
+Normal rank
@@ Property / cites work @@
+On consistency of stochastic dominance and mean-semideviation models
+Normal rank
@@ Property / cites work @@
+The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
+Normal rank
@@ Property / cites work @@
+Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
+Normal rank
@@ Property / cites work @@
+A general methodology for bootstrapping in non-parametric frontier models
+Normal rank
@@ Property / cites work @@
+Dynamic models for fixed-income portfolio management under uncertainty
+Normal rank