Modern portfolio theory (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Modern portfolio theory" in English language version.

refsWebsite

Global rank English rank

18doi.org

2^nd place

7semanticscholar.org

11^th place

8^th place

3nih.gov

4^th place

2jstor.org

26^th place

20^th place

2worldcat.org

5^th place

1wiley.com

222^nd place

297^th place

1ft.com

210^th place

157^th place

1springer.com

274^th place

309^th place

1dtu.dk

low place

8,755^th place

1mit.edu

415^th place

327^th place

1github.com

383^rd place

320^th place

1web.archive.org

1^st place

1handle.net

102^nd place

76^th place

1ssrn.com

703^rd place

501^st place

1duke.edu

1,880^th place

1,218^th place

1harvard.edu

18^th place

17^th place

1uq.edu.au

3,558^th place

2,403^rd place

1kit.edu

6,505^th place

9,776^th place

1uni-frankfurt.de

4,572^nd place

7,417^th place

1risk.net

low place

1econstor.eu

low place

1carloalberto.org

low place

1researchgate.net

120^th place

125^th place

1ucl.ac.uk

1,306^th place

885^th place

1sctracker.com

low place

carloalberto.org

MacCheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; Taboga, Marco (2009). "Portfolio Selection with Monotone Mean-Variance Preferences" (PDF). Mathematical Finance. 19 (3): 487–521. doi:10.1111/j.1467-9965.2009.00376.x. S2CID 154536043.

doi.org

Markowitz, H.M. (March 1952). "Portfolio Selection". The Journal of Finance. 7 (1): 77–91. doi:10.2307/2975974. JSTOR 2975974.
Luc Bauwens, Sébastien Laurent, Jeroen V. K. Rombouts (February 2006). "Multivariate GARCH models: a survey". Journal of Applied Econometrics. 21 (1).{{cite journal}}: CS1 maint: multiple names: authors list (link)
Pressacco, Flavio; Serafini, Paolo (May 2007). "The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later". Decisions in Economics and Finance. 30 (1): 19–49. doi:10.1007/s10203-007-0067-7. ISSN 1593-8883.
Markowitz, H.M. (March 1956). "The Optimization of a Quadratic Function Subject to Linear Constraints". Naval Research Logistics Quarterly. 3 (1–2): 111–133. doi:10.1002/nav.3800030110.
Merton, Robert C. (September 1972). "An Analytic Derivation of the Efficient Portfolio Frontier" (PDF). The Journal of Financial and Quantitative Analysis. 7 (4): 1851. doi:10.2307/2329621. hdl:1721.1/46832. ISSN 0022-1090. Archived from the original on 21 Mar 2022.
Karatzas, Ioannis; Lehoczky, John P.; Sethi, Suresh P.; Shreve, Steven E. (1986). "Explicit Solution of a General Consumption/Investment Problem". Mathematics of Operations Research. 11 (2): 261–294. doi:10.1287/moor.11.2.261. JSTOR 3689808. S2CID 22489650. SSRN 1086184.
Mahdavi Damghani B. (2013). "The Non-Misleading Value of Inferred Correlation: An Introduction to the Cointelation Model". Wilmott Magazine. 2013 (67): 50–61. doi:10.1002/wilm.10252.
Hui, C.; Fox, G.A.; Gurevitch, J. (2017). "Scale-dependent portfolio effects explain growth inflation and volatility reduction in landscape demography". Proceedings of the National Academy of Sciences of the USA. 114 (47): 12507–12511. Bibcode:2017PNAS..11412507H. doi:10.1073/pnas.1704213114. PMC 5703273. PMID 29109261.
Low, R.K.Y.; Faff, R.; Aas, K. (2016). "Enhancing mean–variance portfolio selection by modeling distributional asymmetries" (PDF). Journal of Economics and Business. 85: 49–72. doi:10.1016/j.jeconbus.2016.01.003.
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan (2007). "Portfolio Optimization When Risk Factors Are Conditionally Varying and Heavy Tailed" (PDF). Computational Economics. 29 (3–4): 333–354. doi:10.1007/s10614-006-9071-1. S2CID 8280640.
Duchin, Ran; Levy, Haim (2009). "Markowitz Versus the Talmudic Portfolio Diversification Strategies". The Journal of Portfolio Management. 35 (2): 71–74. doi:10.3905/JPM.2009.35.2.071. S2CID 154865200.
Henide, Karim (2023). "Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios". Journal of Investment Strategies. doi:10.21314/JOIS.2023.001.
Stoyanov, Stoyan; Rachev, Svetlozar; Racheva-Yotova, Boryana; Fabozzi, Frank (2011). "Fat-Tailed Models for Risk Estimation" (PDF). The Journal of Portfolio Management. 37 (2): 107–117. doi:10.3905/jpm.2011.37.2.107. S2CID 154172853.
MacCheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; Taboga, Marco (2009). "Portfolio Selection with Monotone Mean-Variance Preferences" (PDF). Mathematical Finance. 19 (3): 487–521. doi:10.1111/j.1467-9965.2009.00376.x. S2CID 154536043.
Grechuk, Bogdan; Molyboha, Anton; Zabarankin, Michael (2012). "Mean-Deviation Analysis in the Theory of Choice". Risk Analysis. 32 (8): 1277–1292. doi:10.1111/j.1539-6924.2011.01611.x. PMID 21477097. S2CID 12133839.
Chandra, Siddharth (2003). "Regional Economy Size and the Growth-Instability Frontier: Evidence from Europe". Journal of Regional Science. 43 (1): 95–122. doi:10.1111/1467-9787.00291. S2CID 154477444.
Chandra, Siddharth; Shadel, William G. (2007). "Crossing disciplinary boundaries: Applying financial portfolio theory to model the organization of the self-concept". Journal of Research in Personality. 41 (2): 346–373. doi:10.1016/j.jrp.2006.04.007.

dx.doi.org

Merton, Robert C. (September 1972). "An Analytic Derivation of the Efficient Portfolio Frontier" (PDF). The Journal of Financial and Quantitative Analysis. 7 (4): 1851. doi:10.2307/2329621. hdl:1721.1/46832. ISSN 0022-1090. Archived from the original on 21 Mar 2022.

dtu.dk

www2.imm.dtu.dk

David Lando and Rolf Poulsen's lecture notes, Chapter 9, "Portfolio theory" [1]

duke.edu

public.econ.duke.edu

See, e.g., Tim Bollerslev (2019). "Risk and Return in Equilibrium: The Capital Asset Pricing Model (CAPM)"

econstor.eu

Stoyanov, Stoyan; Rachev, Svetlozar; Racheva-Yotova, Boryana; Fabozzi, Frank (2011). "Fat-Tailed Models for Risk Estimation" (PDF). The Journal of Portfolio Management. 37 (2): 107–117. doi:10.3905/jpm.2011.37.2.107. S2CID 154172853.

ft.com

Wigglesworth, Robin (11 April 2018). "How a volatility virus infected Wall Street". The Financial Times.

github.com

"PortfolioAllocation JavaScript library". github.com/lequant40. Retrieved 2018-06-13.

handle.net

hdl.handle.net

Merton, Robert C. (September 1972). "An Analytic Derivation of the Efficient Portfolio Frontier" (PDF). The Journal of Financial and Quantitative Analysis. 7 (4): 1851. doi:10.2307/2329621. hdl:1721.1/46832. ISSN 0022-1090. Archived from the original on 21 Mar 2022.

harvard.edu

ui.adsabs.harvard.edu

Hui, C.; Fox, G.A.; Gurevitch, J. (2017). "Scale-dependent portfolio effects explain growth inflation and volatility reduction in landscape demography". Proceedings of the National Academy of Sciences of the USA. 114 (47): 12507–12511. Bibcode:2017PNAS..11412507H. doi:10.1073/pnas.1704213114. PMC 5703273. PMID 29109261.

jstor.org

Markowitz, H.M. (March 1952). "Portfolio Selection". The Journal of Finance. 7 (1): 77–91. doi:10.2307/2975974. JSTOR 2975974.
Karatzas, Ioannis; Lehoczky, John P.; Sethi, Suresh P.; Shreve, Steven E. (1986). "Explicit Solution of a General Consumption/Investment Problem". Mathematics of Operations Research. 11 (2): 261–294. doi:10.1287/moor.11.2.261. JSTOR 3689808. S2CID 22489650. SSRN 1086184.

kit.edu

statistik.econ.kit.edu

Risk Manager Journal (2006), "New Approaches for Portfolio Optimization: Parting with the Bell Curve — Interview with Prof. Svetlozar Rachev and Prof.Stefan Mittnik" (PDF).

mit.edu

ocw.mit.edu

see bottom of slide 6 here

nih.gov

pubmed.ncbi.nlm.nih.gov

Hui, C.; Fox, G.A.; Gurevitch, J. (2017). "Scale-dependent portfolio effects explain growth inflation and volatility reduction in landscape demography". Proceedings of the National Academy of Sciences of the USA. 114 (47): 12507–12511. Bibcode:2017PNAS..11412507H. doi:10.1073/pnas.1704213114. PMC 5703273. PMID 29109261.
Grechuk, Bogdan; Molyboha, Anton; Zabarankin, Michael (2012). "Mean-Deviation Analysis in the Theory of Choice". Risk Analysis. 32 (8): 1277–1292. doi:10.1111/j.1539-6924.2011.01611.x. PMID 21477097. S2CID 12133839.

ncbi.nlm.nih.gov

Hui, C.; Fox, G.A.; Gurevitch, J. (2017). "Scale-dependent portfolio effects explain growth inflation and volatility reduction in landscape demography". Proceedings of the National Academy of Sciences of the USA. 114 (47): 12507–12511. Bibcode:2017PNAS..11412507H. doi:10.1073/pnas.1704213114. PMC 5703273. PMID 29109261.

researchgate.net

Grechuk, Bogdan; Molyboha, Anton; Zabarankin, Michael (2012). "Mean-Deviation Analysis in the Theory of Choice". Risk Analysis. 32 (8): 1277–1292. doi:10.1111/j.1539-6924.2011.01611.x. PMID 21477097. S2CID 12133839.

risk.net

Henide, Karim (2023). "Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios". Journal of Investment Strategies. doi:10.21314/JOIS.2023.001.

sctracker.com

Sabbadini, Tony (2010). "Manufacturing Portfolio Theory" (PDF). International Institute for Advanced Studies in Systems Research and Cybernetics.

semanticscholar.org

api.semanticscholar.org

Karatzas, Ioannis; Lehoczky, John P.; Sethi, Suresh P.; Shreve, Steven E. (1986). "Explicit Solution of a General Consumption/Investment Problem". Mathematics of Operations Research. 11 (2): 261–294. doi:10.1287/moor.11.2.261. JSTOR 3689808. S2CID 22489650. SSRN 1086184.
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan (2007). "Portfolio Optimization When Risk Factors Are Conditionally Varying and Heavy Tailed" (PDF). Computational Economics. 29 (3–4): 333–354. doi:10.1007/s10614-006-9071-1. S2CID 8280640.
Duchin, Ran; Levy, Haim (2009). "Markowitz Versus the Talmudic Portfolio Diversification Strategies". The Journal of Portfolio Management. 35 (2): 71–74. doi:10.3905/JPM.2009.35.2.071. S2CID 154865200.
Stoyanov, Stoyan; Rachev, Svetlozar; Racheva-Yotova, Boryana; Fabozzi, Frank (2011). "Fat-Tailed Models for Risk Estimation" (PDF). The Journal of Portfolio Management. 37 (2): 107–117. doi:10.3905/jpm.2011.37.2.107. S2CID 154172853.
MacCheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; Taboga, Marco (2009). "Portfolio Selection with Monotone Mean-Variance Preferences" (PDF). Mathematical Finance. 19 (3): 487–521. doi:10.1111/j.1467-9965.2009.00376.x. S2CID 154536043.
Grechuk, Bogdan; Molyboha, Anton; Zabarankin, Michael (2012). "Mean-Deviation Analysis in the Theory of Choice". Risk Analysis. 32 (8): 1277–1292. doi:10.1111/j.1539-6924.2011.01611.x. PMID 21477097. S2CID 12133839.
Chandra, Siddharth (2003). "Regional Economy Size and the Growth-Instability Frontier: Evidence from Europe". Journal of Regional Science. 43 (1): 95–122. doi:10.1111/1467-9787.00291. S2CID 154477444.

springer.com

link.springer.com

Pressacco, Flavio; Serafini, Paolo (May 2007). "The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later". Decisions in Economics and Finance. 30 (1): 19–49. doi:10.1007/s10203-007-0067-7. ISSN 1593-8883.

ssrn.com

papers.ssrn.com

Karatzas, Ioannis; Lehoczky, John P.; Sethi, Suresh P.; Shreve, Steven E. (1986). "Explicit Solution of a General Consumption/Investment Problem". Mathematics of Operations Research. 11 (2): 261–294. doi:10.1287/moor.11.2.261. JSTOR 3689808. S2CID 22489650. SSRN 1086184.

ucl.ac.uk

web4.cs.ucl.ac.uk

Portfolio Theory of Information Retrieval July 11th, 2009 (2009-07-11). "Portfolio Theory of Information Retrieval | Dr. Jun Wang's Home Page". Web4.cs.ucl.ac.uk. Retrieved 2012-09-05.{{cite web}}: CS1 maint: numeric names: authors list (link)

uni-frankfurt.de

publikationen.ub.uni-frankfurt.de

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan (2007). "Portfolio Optimization When Risk Factors Are Conditionally Varying and Heavy Tailed" (PDF). Computational Economics. 29 (3–4): 333–354. doi:10.1007/s10614-006-9071-1. S2CID 8280640.

uq.edu.au

espace.library.uq.edu.au

Low, R.K.Y.; Faff, R.; Aas, K. (2016). "Enhancing mean–variance portfolio selection by modeling distributional asymmetries" (PDF). Journal of Economics and Business. 85: 49–72. doi:10.1016/j.jeconbus.2016.01.003.

web.archive.org

Merton, Robert C. (September 1972). "An Analytic Derivation of the Efficient Portfolio Frontier" (PDF). The Journal of Financial and Quantitative Analysis. 7 (4): 1851. doi:10.2307/2329621. hdl:1721.1/46832. ISSN 0022-1090. Archived from the original on 21 Mar 2022.

wiley.com

onlinelibrary.wiley.com

Markowitz, H.M. (March 1952). "Portfolio Selection". The Journal of Finance. 7 (1): 77–91. doi:10.2307/2975974. JSTOR 2975974.

worldcat.org

Pressacco, Flavio; Serafini, Paolo (May 2007). "The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later". Decisions in Economics and Finance. 30 (1): 19–49. doi:10.1007/s10203-007-0067-7. ISSN 1593-8883.
Merton, Robert C. (September 1972). "An Analytic Derivation of the Efficient Portfolio Frontier" (PDF). The Journal of Financial and Quantitative Analysis. 7 (4): 1851. doi:10.2307/2329621. hdl:1721.1/46832. ISSN 0022-1090. Archived from the original on 21 Mar 2022.