Handbook of Portfolio Construction
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Published By Springer US

9780387774381, 9780387774398
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scholarly journals Distortion Risk Measures in Portfolio Optimization

2010 ◽  
pp. 649-673 ◽  
Author(s):  
Ekaterina N. Sereda ◽  
Efim M. Bronshtein ◽  
Svetozar T. Rachev ◽  
Frank J. Fabozzi ◽  
Wei Sun ◽  
...  
Keyword(s):  
Portfolio Optimization ◽  
Risk Measures ◽  
Distortion Risk Measures

Multiportfolio Optimization: A Natural Next Step

2010 ◽  
pp. 565-581 ◽  
Author(s):  
Martin W. P. Savelsbergh ◽  
Robert A. Stubbs ◽  
Dieter Vandenbussche

Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models

2010 ◽  
pp. 621-648 ◽  
Author(s):  
John B. Guerard ◽  
Sundaram Chettiappan ◽  
GanLin Xu
Keyword(s):  
Data Mining ◽  
Stock Selection

Case Closed

2010 ◽  
pp. 601-619 ◽  
Author(s):  
Robert A. Haugen ◽  
Nardin L. Baker

scholarly journals Applying Markowitz’s Critical Line Algorithm

2010 ◽  
pp. 383-400 ◽  
Author(s):  
Andras Niedermayer ◽  
Daniel Niedermayer
Keyword(s):  
Critical Line

Linking Momentum Strategies with Single-Period Portfolio Models

2010 ◽  
pp. 511-528 ◽  
Author(s):  
John M. Mulvey ◽  
Woo Chang Kim ◽  
Mehmet Bilgili
Keyword(s):  
Momentum Strategies ◽  
Single Period
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