60 years of portfolio optimization: practical challenges and current trends
From MaRDI portal
Recommendations
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Portfolio selection: a review
- Portfolio optimization: a mean field theory approach
- Portfolio choice problems. An introductory survey of single and multiperiod models.
- Markowitz revisited: mean-variance models in financial portfolio analysis
Cites work
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Coherent measures of risk
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- Introduction to stochastic control theory
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Mean-variance approximations to expected utility
- Optimization Methods in Finance
- Portfolio selection with higher moments
- Portfolio selection with robust estimation
- Recent developments in robust portfolios with a worst-case approach
- Robust asset allocation
- Robust convex optimization
- Robust optimization and portfolio selection: the cost of robustness
- Robust Portfolio Selection Problems
- Robust portfolios that do not tilt factor exposure
- Robust portfolios: contributions from operations research and finance
- Robust solutions of uncertain linear programs
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust Solutions to Uncertain Semidefinite Programs
- What do robust equity portfolio models really do?
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(only showing first 100 items - show all)- Fuzzy views on Black-Litterman portfolio selection model
- Robust equity portfolio performance
- Tracking hedge funds returns using sparse clones
- A two-stage approach to the UCITS-constrained index-tracking problem
- Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence
- Risk tomography
- Asset allocation with correlation: a composite trade-off
- On the Bayesian interpretation of Black-Litterman
- The dynamic Black-Litterman approach to asset allocation
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Mean-VaR portfolio optimization: a nonparametric approach
- Comonotonic approximation to periodic investment problems under stochastic drift
- Robust multiobjective portfolio optimization: A minimax regret approach
- A bi-level programming approach for global investment strategies with financial intermediation
- A nonlinear interval portfolio selection model and its application in banks
- A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem
- Portfolio optimization with entropic value-at-risk
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- High-end weapon equipment portfolio selection based on a heterogeneous network model
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
- Portfolio decision analysis: recent developments and future prospects
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- Copula-based Black-Litterman portfolio optimization
- Multi-period portfolio selection with investor views based on scenario tree
- Pandemic portfolio choice
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- A combinatorial optimization approach to scenario filtering in portfolio selection
- Goal-based investing based on multi-stage robust portfolio optimization
- A \textit{meta}-measure of performance related to both investors and investments characteristics
- Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- Portfolio optimization with behavioural preferences and investor memory
- Dealing with complex transaction costs in portfolio management
- Minimum Rényi entropy portfolios
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk
- Multi-period portfolio selection with drawdown control
- An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection
- Portfolio selection based on Bayesian theory
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Sparse precision matrices for minimum variance portfolios
- Un-diversifying during crises: is it a good idea?
- Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?
- Preface to the special issue: 60 years following Harry Markowitz's contributions in portfolio theory and operations research
- Restricted risk measures and robust optimization
- Comparison of banking and peer-to-peer lending risks
- A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- Survey on multi-period mean-variance portfolio selection model
- Optimal chance-constrained pension fund management through dynamic stochastic control
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
- A linearized value-at-risk model with transaction costs and short selling
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Sparse and robust normal and t-portfolios by penalized L_q-likelihood minimization
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
- Disentangling the role of variance and covariance information in portfolio selection problems
- Modeling and solving portfolio selection problems based on PVaR
- Personalized goal-based investing via multi-stage stochastic goal programming
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- The effects of errors in means, variances, and correlations on the mean-variance framework
- Estimation risk and the implicit value of index-tracking
- Portfolio optimization under a minimax rule revisited
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications
- Multiobjective optimization of credit capital allocation in financial institutions
- Eigendecomposition of the mean-variance portfolio optimization model
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- Best-case scenario robust portfolio: evidence from China stock market
- Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Neurodynamics-driven portfolio optimization with targeted performance criteria
- First passage times in portfolio optimization: a novel nonparametric approach
- Adaptive evolutionary algorithms for portfolio selection problems
- Portfolio optimization through a network approach: network assortative mixing and portfolio diversification
- Deep reinforcement trading with predictable returns
- Literature reviews in operations research: a new taxonomy and a meta review
- Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
- Liquidity-constrained index tracking optimization models
- Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
- Bi-objective reliability based optimization: an application to investment analysis
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- Short communication: utility-based acceptability indices
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- A modified CTGAN-plus-features-based method for optimal asset allocation
- Robust optimization approaches for portfolio selection: a comparative analysis
- A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level
- Portfolio optimization with \(pw\)-robustness
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
- Mean return -- standard deviation investing on the fluctuating efficient frontier
- Median-adaptive portfolios: a minimum criteria approach to asset allocation
- Global optimization for the portfolio selection model with high-order moments
- Cardinality constrained multi-period mean-variance portfolio optimization with regime-switching parameters
This page was built for publication: 60 years of portfolio optimization: practical challenges and current trends
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2514707)
