Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
From MaRDI portal
Publication:1795052
DOI10.1007/s10700-017-9266-zzbMath1429.91299OpenAlexW2599699595MaRDI QIDQ1795052
Sini Guo, Yuanyuan Zhang, Xiang Li
Publication date: 16 October 2018
Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10700-017-9266-z
Related Items
Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it ⋮ A new quadratic deviation of fuzzy random variable and its application to portfolio optimization ⋮ On fuzzy portfolio selection problems: a parametric representation approach ⋮ On product of positive \(L\)-\(R\) fuzzy numbers and its application to multi-period portfolio selection problems ⋮ Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset ⋮ A clustering‐based review on project portfolio optimization methods ⋮ Static Markowitz mean-variance portfolio selection model with long-term bonds ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint ⋮ Adaptive online portfolio selection with transaction costs ⋮ A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems ⋮ Agglomerative likelihood clustering
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- A well-conditioned estimator for large-dimensional covariance matrices
- A fuzzy portfolio selection model with background risk
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
- Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
- Multi-period portfolio optimization for asset-liability management with bankrupt control
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Minimax mean-variance models for fuzzy portfolio selection
- Robust portfolio optimization: a conic programming approach
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
- Mean-variance portfolio selection of cointegrated assets
- Continuous time mean variance asset allocation: a time-consistent strategy
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
- On admissible efficient portfolio selection problem
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- A test for the weights of the global minimum variance portfolio in an elliptical model
- A theory of rolling horizon decision making
- A fuzzy portfolio selection method based on possibilistic mean and variance
- Portfolio selection using neural networks
- Asset and liability management under a continuous-time mean-variance optimization framework
- Two new models for portfolio selection with stochastic returns taking fuzzy information
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Time-consistent investment strategy under partial information
- Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Robust portfolios: contributions from operations research and finance
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Chance measure for hybrid events with fuzziness and randomness
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- Particle swarm optimization approach to portfolio optimization
- Mean-variance models for portfolio selection with fuzzy random returns
- A review of credibilistic portfolio selection
- Portfolio selection problems with random fuzzy variable returns
- Default reasoning and possibility theory
- Statistics with vague data
- Fuzzy random variables - I. Definitions and theorems
- Fuzzy random variables - II. Algorithms and examples for the discrete case
- Fuzzy sets as a basis for a theory of possibility
- Robust solutions of uncertain linear programs
- Simulated annealing for complex portfolio selection problems.
- An MCDM approach to portfolio optimization.
- Portfolio selection problem with interval coefficients
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Heuristics for cardinality constrained portfolio optimization
- A random parameter model for continuous-time mean-variance asset-liability management
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
- Portfolio selection based on upper and lower exponential possibility distributions
- On weighted possibilistic mean and variance of fuzzy numbers
- Random fuzzy dependent-chance programming and its hybrid intelligent algorithm
- A possibilistic approach to selecting portfolios with highest utility score
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Portfolio selection based on fuzzy probabilities and possibility distributions
- Recent developments in robust portfolios with a worst-case approach
- Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
- Continuous-time mean-variance asset-liability management with endogenous liabilities
- Mean-variance portfolio selection with correlation risk
- Heuristic algorithms for the cardinality constrained efficient frontier
- Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Mean-variance principle of managing cointegrated risky assets and random liabilities
- Dynamic mean-variance portfolio selection with borrowing constraint
- An analytic derivation of admissible efficient frontier with borrowing
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust asset allocation
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- A new perspective for optimal portfolio selection with random fuzzy returns
- On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem
- Multiperiod mean-variance optimization with intertemporal restrictions
- Portfolio optimization with linear and fixed transaction costs
- Mean-variance portfolio optimal problem under concave transaction cost
- On admissible efficient portfolio selection: models and algorithms
- Improving portfolio efficiency: a genetic algorithm approach
- Optimal multi-period mean-variance policy under no-shorting constraint
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- A portfolio optimization model with three objectives and discrete variables
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Robust Convex Optimization
- Distribution of the product of a singular Wishart matrix and a normal vector
- Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
- A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Portfolio Selection with Robust Estimation
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Optimal Portfolio Selection Models with Uncertain Returns
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- A SUFFICIENT AND NECESSARY CONDITION FOR CREDIBILITY MEASURES
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Pricing stock and bond derivatives with a multi-factor Gaussian model
- A Black–Litterman asset allocation model under Elliptical distributions
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- Dynamic mean–variance portfolio selection in market with jump-diffusion models
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Penalty methods for continuous-time portfolio selection with proportional transaction costs
- Stochastic Analysis and Applications
- Mean‐Variance Portfolio Selection under Partial Information
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
- Fuzzy sets
- Decision-Making in a Fuzzy Environment
- Expected Value Operator of Random Fuzzy Variable and Random Fuzzy Expected Value Models
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Robust Portfolio Selection Problems
- Algorithmic Applications in Management
- Portfolio Selection with Transaction Costs
- Uncertainty theory
- Fuzzy random variables
- On possibilistic mean value and variance of fuzzy numbers
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
