The Markowitz’s Mean–Variance Interpretation under the efficient market hypothesis in the context of critical recession periods-Reference-Cited by-同舟云学术

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The Markowitz’s Mean–Variance Interpretation under the efficient market hypothesis in the context of critical recession periods

Published:2023-12 Issue: Volume:434 Page:115227
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Martínez-Sánchez Julio César,Berrones-Santos Arturo,Martínez Javier Almaguer

Funder

Universidad Autónoma de Nuevo León

Consejo Nacional de Ciencia y Tecnología

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference31 articles.

1. Efficient capital markets: A review of theory and empirical work;Fama;J. Finance,1970

2. Stochastic Processes. From Physics to Finance;Paul,1999

3. A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures;Heckens;J. Stat. Mech. Theory Exp.,2022

4. Deep learning with long short-term memory networks for financial market predictions;Fischer;European J. Oper. Res.,2018

5. Portfolio optimization of financial commodities with energy futures;Wang;Ann. Oper. Res.,2022

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1. Low-carbon operation constrained Two-stage Stochastic Energy and Reserve Scheduling: A Worst-case Conditional Value-at-Risk approach;Electric Power Systems Research;2023-12

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