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

DOI10.1007/BF02282055zbMATH Open0785.90017OpenAlexW1967136603MaRDI QIDQ1313166FDOQ1313166

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

Cites Work

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Cited In (32)

• Multiobjective expected value model for portfolio selection in fuzzy environment
• Expected value multiobjective portfolio rebalancing model with fuzzy parameters
• Multi-stage stochastic model in portfolio selection problem
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
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• Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
• 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
• Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• 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
• Uncertain portfolio adjusting model using semiabsolute deviation
• Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
• 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

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