Portfolio selection in multidimensional general and partial moment space
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Publication:964574
DOI10.1016/J.JEDC.2009.11.001zbMATH Open1202.91293OpenAlexW2099323358MaRDI QIDQ964574FDOQ964574
Authors: Walter Briec, Kristiaan Kerstens 
Publication date: 22 April 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2009.11.001
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Cites Work
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Cited In (18)
- Multi-Attribute Portfolio Selection: New Perspectives
- Location-scale portfolio selection with factor-recentered skew normal asset returns
- Data envelopment analysis models of investment funds
- Non-separation in the mean -- lower-partial-moment portfolio optimization problem
- Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
- The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios
- Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
- Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market
- Multicriteria decision systems for financial problems
- Instantaneous portfolio theory
- Evaluating different groups of mutual funds using a metafrontier approach: ethical vs. non-ethical funds
- Resampling DEA estimates of investment fund performance
- Optimal management of wind and solar energy resources
- Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties
- Efficient portfolios and extreme risks: a Pareto-Dirichlet approach
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
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