Conditional mean-variance and mean-semivariance models in portfolio optimization-Reference-Cited by-同舟云学术

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Conditional mean-variance and mean-semivariance models in portfolio optimization

Published:2020-05-07 Issue:8 Volume:23 Page:1333-1356
ISSN:0972-0510
Container-title:Journal of Statistics and Management Systems
language:en
Short-container-title:Journal of Statistics and Management Systems

Author:

Salah Hanene Ben¹²,Gannoun Ali¹,Ribatet Mathieu¹

Affiliation:

1. Institut Montpelliérain Alexander Grothendieck, UMR 5149, 34095 Montpellier Cedex 05, France

2. Université Claude Bernard Lyon 1, Institut de Science Financiére et d’Assurances, Laboratoire de Sciences Actuarielle et Financière, EA2429, 69366 Lyon, France

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/09720510.2020.1721931

Reference36 articles.

1. Portfolio Selection

2. H. Markowitz, Portfolio Selection : Efficient Diversification of Investments, 1959.

3. The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

4. Global Portfolio Optimization

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conditional Asset Allocation With Maximal Sharpe Ratio;SSRN Electronic Journal;2023

2. A Possibilistic Programming Approach to Portfolio Optimization Problem Under Fuzzy Data;Contributions to Economics;2022

3. Portfolio optimization model with uncertain returns based on prospect theory;Complex & Intelligent Systems;2021-08-24

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