Portfolio selection and asset pricing

zbMath0987.91033MaRDI QIDQ5960176

Shou-Yang Wang, Yusen Xia

Publication date: 11 April 2002

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

asset pricingtransaction costsinvestmentportfolio selectionmean-variance analysisCAPMone-period model

Mathematics Subject Classification ID

Related Items (17)

Neural network-based mean-variance-skewness model for portfolio selection ⋮ Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach ⋮ A random parameter model for continuous-time mean-variance asset-liability management ⋮ Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms ⋮ Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function ⋮ Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market ⋮ Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach ⋮ A mixed R{\&}D projects and securities portfolio selection model ⋮ A model for portfolio selection with order of expected returns. ⋮ Mean-risk-skewness models for portfolio optimization based on uncertain measure ⋮ How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons ⋮ Spread of fuzzy variable and expectation-spread model for fuzzy portfolio optimization problem ⋮ Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion ⋮ Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences ⋮ Risk analysis of a pay to delay capacity reservation contract ⋮ Portfolio selection with skewness: a comparison of methods and a generalized one fund result ⋮ Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

This page was built for publication: Portfolio selection and asset pricing