Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052): Difference between revisions

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+On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem
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+A portfolio optimization model with three objectives and discrete variables
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+Pricing stock and bond derivatives with a multi-factor Gaussian model
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+Robust Convex Optimization
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+Robust solutions of uncertain linear programs
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+Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
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+Robust multiperiod portfolio management in the presence of transaction costs
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+A theory of Markovian time-inconsistent stochastic control in discrete time
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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+Distribution of the product of a singular Wishart matrix and a normal vector
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+A test for the weights of the global minimum variance portfolio in an elliptical model
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+On possibilistic mean value and variance of fuzzy numbers
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+A possibilistic approach to selecting portfolios with highest utility score
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+Heuristics for cardinality constrained portfolio optimization
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+Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
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+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
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+Asset and liability management under a continuous-time mean-variance optimization framework
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+Mean-variance portfolio selection of cointegrated assets
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+Mean-variance principle of managing cointegrated risky assets and random liabilities
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+Mean-variance portfolio selection with correlation risk
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+Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
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+A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
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+Multiperiod mean-variance optimization with intertemporal restrictions
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+Simulated annealing for complex portfolio selection problems.
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+Optimal multi-period mean-variance policy under no-shorting constraint
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+Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
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+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
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+Particle swarm optimization approach to portfolio optimization
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+Time-consistent mean-variance portfolio selection in discrete and continuous time
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+Penalty methods for continuous-time portfolio selection with proportional transaction costs
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+Portfolio Selection with Transaction Costs
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+Portfolio Selection with Robust Estimation
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+Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
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+Default reasoning and possibility theory
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+An MCDM approach to portfolio optimization.
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+Robust portfolios: contributions from operations research and finance
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+Portfolio selection using neural networks
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+Dynamic mean-variance portfolio selection with borrowing constraint
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+On weighted possibilistic mean and variance of fuzzy numbers
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+Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
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+Robust Portfolio Selection Problems
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+Dynamic mean–variance portfolio selection in market with jump-diffusion models
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+Mean-variance models for portfolio selection with fuzzy random returns
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+Portfolio selection problems with random fuzzy variable returns
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+Q5431792
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+Two new models for portfolio selection with stochastic returns taking fuzzy information
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+A new perspective for optimal portfolio selection with random fuzzy returns
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+A review of credibilistic portfolio selection
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+Minimax mean-variance models for fuzzy portfolio selection
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+Portfolio selection problem with interval coefficients
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+Q3185327
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+Stochastic Analysis and Applications
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Recent developments in robust portfolios with a worst-case approach
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+Statistics with vague data
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+Fuzzy random variables - I. Definitions and theorems
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+Fuzzy random variables - II. Algorithms and examples for the discrete case
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+A well-conditioned estimator for large-dimensional covariance matrices
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+A geometric approach to multiperiod mean variance optimization of assets and liabilities
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+Multiperiod mean-variance efficient portfolios with endogenous liabilities
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+Multi-period portfolio optimization for asset-liability management with bankrupt control
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+A SUFFICIENT AND NECESSARY CONDITION FOR CREDIBILITY MEASURES
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+Chance measure for hybrid events with fuzziness and randomness
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Time-consistent investment strategy under partial information
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+OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
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+Q3408234
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+Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
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+A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
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+A fuzzy portfolio selection model with background risk
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+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
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+Random fuzzy dependent-chance programming and its hybrid intelligent algorithm
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+Uncertainty theory
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+Q5213703
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+Expected Value Operator of Random Fuzzy Variable  and Random Fuzzy Expected Value Models
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+Portfolio optimization with linear and fixed transaction costs
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+Robust portfolio selection based on a joint ellipsoidal uncertainty set
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+A random parameter model for continuous-time mean-variance asset-liability management
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+Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
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+Optimum consumption and portfolio rules in a continuous-time model
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+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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+A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs
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+Fuzzy random variables
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+Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
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+A theory of rolling horizon decision making
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+Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
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+Mean-variance portfolio selection in a complete market with unbounded random coefficients
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+Q3237829
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+Portfolio selection based on upper and lower exponential possibility distributions
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+Portfolio selection based on fuzzy probabilities and possibility distributions
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+Robust asset allocation
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+Continuous time mean variance asset allocation: a time-consistent strategy
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+Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
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+Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
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+Multi-period optimization portfolio with bankruptcy control in stochastic market
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+Heuristic algorithms for the cardinality constrained efficient frontier
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+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
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+Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
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+Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
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+MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
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+A Black–Litterman asset allocation model under Elliptical distributions
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+Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
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+Mean‐Variance Portfolio Selection under Partial Information
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+Mean-variance portfolio optimal problem under concave transaction cost
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+Optimal Portfolio Selection Models with Uncertain Returns
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+Improving portfolio efficiency: a genetic algorithm approach
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+Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
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+Continuous-time mean-variance asset-liability management with endogenous liabilities
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+Robust portfolio optimization: a conic programming approach
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+Multi-period portfolio selection for asset-liability management with uncertain investment horizon
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+A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
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+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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+THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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+Fuzzy sets
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+Fuzzy sets as a basis for a theory of possibility
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+Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
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+On admissible efficient portfolio selection: models and algorithms
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+On admissible efficient portfolio selection problem
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+Algorithmic Applications in Management
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+An analytic derivation of admissible efficient frontier with borrowing
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+Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
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+A fuzzy portfolio selection method based on possibilistic mean and variance
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+Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
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+A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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