Computation of mean-semivariance efficient sets by the critical line algorithm

DOI10.1007/BF02282055MaRDI QIDQ1313166zbMATH OpenOpenAlexFDO

Authors Ganlin Xu, Yuji Yamane, Harry M. Markowitz, Peter M. Todd

Publication date 26 January 1994

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02282055

zbMATH Keywords

mean-semivariance portfolio optimizationmean-variance efficient frontiercritical line algorithmparametric non-quadratic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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• Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning
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• Mean-semivariance portfolio optimization using minimum average partial
• Portfolio selection based on distance between fuzzy variables
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Multiobjective expected value model for portfolio selection in fuzzy environment
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• Risk curve and fuzzy portfolio selection
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Uncertain portfolio adjusting model using semiabsolute deviation
• Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• A fast Markowitz critical line algorithm
• Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
• Stock market prediction and portfolio selection models: a survey
• Portfolio selection with higher moments
• Variance vs downside risk: Is there really that much difference?
• A new perspective for optimal portfolio selection with random fuzzy returns
• Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
• Portfolio selection based on fuzzy cross-entropy
• The benefits of differential variance-based constraints in portfolio optimization
• Mean-semivariance models for fuzzy portfolio selection
• Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
• Portfolio selection with a new definition of risk
• Expected value multiobjective portfolio rebalancing model with fuzzy parameters

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