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)

Recommendations

• A note on calculating the optimal risky portfolio
• Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
• scientific article; zbMATH DE number 1234748
• A dynamic programming approach to solve efficient frontier.
• scientific article; zbMATH DE number 2009828

Cited in

(32)

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

This page was built for publication: Computation of mean-semivariance efficient sets by the critical line algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1313166)