Handbook of Portfolio Construction

DOI10.1007/978-0-387-77439-8MaRDI QIDQ3647074zbMATH OpenOpenAlexFDO

Authors

Publication date 30 November 2009

Full work available at URL https://doi.org/10.1007/978-0-387-77439-8

zbMATH Keywords

portfolio constructionportfolio optimization

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to game theory, economics, and finance (91-00) Portfolio theory (91G10)

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Cited in

(18)

• Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
• On analyzing and detecting multiple optima of portfolio optimization
• A further analysis of robust regression modeling and data mining corrections testing in global stocks
• Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
• Portfolio construction, measurement, and efficiency. Essays in honor of Jack Treynor
• Portfolio construction and risk budgeting
• Control of investment portfolio based on complex quantile risk measures
• Random distortion risk measures
• Robust asset allocation with conditional value at risk using the forward search
• MCDA strategies for portfolio optimization: a case study on Vietnamese stock market dynamics
• Earnings forecasting and mean-variance efficient portfolios in the United States
• Improving estimation of portfolio risk using new statistical factors
• Relative risk aversion must be close to 1
• Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage
• Harry Markowitz and my AFA presidential address
• Investments: the (almost) century of Markowitz. Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire
• Optimal nonparametric estimation of the expected shortfall risk
• Parametric direct support method for solving the bi-objective portfolio optimization problem

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