Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems

Non-Markovian Mean-Variance Portfolio Selection Problems Via Closed-Loop Equilibrium Strategies

10.2139/ssrn.3945300 ◽

2021 ◽

Author(s):

Xizhi Su ◽

Tianxiao Wang ◽

Jiaqin Wei ◽

Chao Zhou

Keyword(s):

Portfolio Selection ◽

Closed Loop ◽

Selection Problems ◽

Equilibrium Strategies ◽

Mean Variance Portfolio ◽

Proceedings of 2004 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.04EX826) ◽

A class of weighted possibilistic mean-variance portfolio selection problems

10.1109/icmlc.2004.1382130 ◽

2005 ◽

Cited By ~ 1

Author(s):

Xun Wang ◽

Wei-Jun Xu ◽

Wei-Guo Zhang

Keyword(s):

Portfolio Selection ◽

Selection Problems ◽

Mean Variance Portfolio ◽

Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2010.6.483 ◽

2010 ◽

Vol 6 (3) ◽

pp. 483-496 ◽

Cited By ~ 29

Author(s):

Yan Zeng ◽

◽

Zhongfei Li ◽

Jingjun Liu ◽

Keyword(s):

Portfolio Selection ◽

Optimal Strategies ◽

Selection Problems ◽

Mean Variance Portfolio ◽

Non-Markovian Mean-Variance Portfolio Selection Problems Via Closed-Loop Equilibrium Strategies

10.2139/ssrn.3973861 ◽

2021 ◽

Author(s):

Xizhi Su ◽

Tianxiao Wang ◽

Jiaqin Wei ◽

Chao Zhou

Keyword(s):

Portfolio Selection ◽

Closed Loop ◽

Selection Problems ◽

Equilibrium Strategies ◽

Mean Variance Portfolio ◽

Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2013.02.009 ◽

2013 ◽

Vol 37 (12) ◽

pp. 5526-5537 ◽

Cited By ~ 24

Author(s):

Mario Brandtner

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Risk Measures ◽

Variance Analysis ◽

Conditional Value At Risk ◽

Selection Problems ◽

Spectral Risk Measures ◽

A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems

Expert Systems with Applications ◽

10.1016/j.eswa.2019.05.018 ◽

2019 ◽

Vol 133 ◽

pp. 225-241 ◽

Cited By ~ 7

Author(s):

Yuri Laio T.V. Silva ◽

Ana Beatriz Herthel ◽

Anand Subramanian

Keyword(s):

Evolutionary Algorithm ◽

Portfolio Selection ◽

Multi Objective ◽

Selection Problems ◽

Mean Variance Portfolio ◽

A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2018189 ◽

2020 ◽

Vol 16 (2) ◽

pp. 991-1008

Author(s):

Ning Zhang ◽

Keyword(s):

Portfolio Selection ◽

Selection Problems ◽

Mean Variance Portfolio ◽

Spectral Risk Measures, Comonotonicity and Diversification in Portfolio Selection Problems – A Comparison with Mean-Variance Analysis

10.2139/ssrn.1785371 ◽

2012 ◽

Author(s):

Mario Brandtner

Keyword(s):

Portfolio Selection ◽

Risk Measures ◽

Variance Analysis ◽

Selection Problems ◽

Spectral Risk Measures ◽

Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature

Fuzzy Optimization and Decision Making ◽

10.1007/s10700-017-9266-z ◽

2017 ◽

Vol 17 (2) ◽

pp. 125-158 ◽

Cited By ~ 21

Author(s):

Yuanyuan Zhang ◽

Xiang Li ◽

Sini Guo

Keyword(s):

Portfolio Selection ◽

Review Of Literature ◽

Selection Problems ◽

A VaR-Constrained Mean-Variance Model: Implications for Portfolio Selection and the Basle Capital Accord.

10.2139/ssrn.275894 ◽

2001 ◽

Cited By ~ 2

Author(s):

Gordon J. Alexander ◽

Alexandre M. Baptista

Keyword(s):

Portfolio Selection ◽

Variance Model ◽