Portfolio optimization (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Portfolio optimization" in English language version.

refsWebsite

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17doi.org

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9semanticscholar.org

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3uq.edu.au

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2worldcat.org

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1wiley.com

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1jstor.org

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1yale.edu

565^th place

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1kit.edu

6,505^th place

9,776^th place

1pm-research.com

low place

1stanford.edu

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1washington.edu

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749^th place

1uwaterloo.ca

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1gatech.edu

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1ams.org

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1unice.fr

low place

1web.archive.org

1^st place

1finra.org

low place

9,573^rd place

1pyportfolioopt.readthedocs.io

low place

1cfainstitute.org

low place

1researchgate.net

120^th place

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ams.org

mathscinet.ams.org

Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej (2009). Lectures on stochastic programming: Modeling and theory (PDF). MPS/SIAM Series on Optimization. Vol. 9. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) and the Mathematical Programming Society (MPS). pp. xvi+436. ISBN 978-0-89871-687-0. MR 2562798.

cfainstitute.org

Chua, D.; Krizman, M.; Page, S. (2009). "The Myth of Diversification". Journal of Portfolio Management. 36 (1): 26–35. doi:10.3905/JPM.2009.36.1.026. S2CID 154921810.

doi.org

Markowitz, H.M. (March 1952). "Portfolio Selection". The Journal of Finance. 7 (1): 77–91. doi:10.2307/2975974. JSTOR 2975974.
Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando (1 January 2008). "Optimal portfolio allocation with higher moments". Annals of Finance. 4 (1): 1–28. doi:10.1007/s10436-007-0071-5. ISSN 1614-2446. S2CID 16514619.
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar; Fabozzi, Frank J.; Mignacca, Domenico (21 November 2012). "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model". Annals of Operations Research. 201 (1): 325–343. doi:10.1007/s10479-012-1229-8. S2CID 45585936.
López de Prado, Marcos (31 May 2016). "Building Diversified Portfolios that Outperform Out of Sample". The Journal of Portfolio Management. 42 (4): 59–69. doi:10.3905/jpm.2016.42.4.059. ISSN 0095-4918.
Markowitz, Harry (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.
Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Kapsos, Michalis; Zymler, Steve; Christofides, Nicos; Rustem, Berç (Summer 2014). "Optimizing the Omega Ratio using Linear Programming" (PDF). Journal of Computational Finance. 17 (4): 49–57. doi:10.21314/JCF.2014.283.
Talebi, Arash; Molaei, Sheikh (17 September 2010). "Performance investigation and comparison of two evolutionary algorithms in portfolio optimization: Genetic and particle swarm optimization". 2010 2nd IEEE International Conference on Information and Financial Engineering. pp. 430–437. doi:10.1109/icife.2010.5609394. ISBN 978-1-4244-6927-7. S2CID 17386345.
Zhu, Zhe; Welsch, Roy E. (2018). "Robust dependence modeling for high-dimensional covariance matrices with financial applications". Ann. Appl. Stat. 12 (2): 1228–1249. doi:10.1214/17-AOAS1087. S2CID 23490041.
Humphrey, J.; Benson, K.; Low, R.K.Y.; Lee, W.L. (2015). "Is diversification always optimal?" (PDF). Pacific Basin Finance Journal. 35 (B): B. doi:10.1016/j.pacfin.2015.09.003.
Chua, D.; Krizman, M.; Page, S. (2009). "The Myth of Diversification". Journal of Portfolio Management. 36 (1): 26–35. doi:10.3905/JPM.2009.36.1.026. S2CID 154921810.
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.
Fantazzinni, D. (2009). "The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study". Computational Statistics & Data Analysis. 53 (6): 2168–2188. doi:10.1016/j.csda.2008.02.002.
Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. (2013). "Canonical vine copulas in the context of modern portfolio management: Are they worth it?" (PDF). Journal of Banking & Finance. 37 (8): 3085. doi:10.1016/j.jbankfin.2013.02.036. S2CID 154138333.
Chua, David; Kritzman, Mark; Page, Sebastien (2009). "The Myth of Diversification". Journal of Portfolio Management. 36 (1): 26–35. doi:10.3905/JPM.2009.36.1.026. S2CID 154921810.
Adler, Tim; Kritzman, Mark (2007). "Mean-Variance versus Full-Scale Optimization: In and Out of Sample". Journal of Asset Management. 7 (5): 71–73. doi:10.2469/dig.v37.n3.4799.
Xia, Jianming (2004). "Multi-agent investment in incomplete markets". Finance and Stochastics. 8 (2): 241–259. doi:10.1007/s00780-003-0115-2. S2CID 7162635.

finra.org

"Concentrate on Concentration Risk | FINRA.org". www.finra.org. 15 June 2022. Retrieved 16 March 2024.

gatech.edu

www2.isye.gatech.edu

Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej (2009). Lectures on stochastic programming: Modeling and theory (PDF). MPS/SIAM Series on Optimization. Vol. 9. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) and the Mathematical Programming Society (MPS). pp. xvi+436. ISBN 978-0-89871-687-0. MR 2562798.

jstor.org

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

kit.edu

publikationen.bibliothek.kit.edu

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar; Fabozzi, Frank J.; Mignacca, Domenico (21 November 2012). "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model". Annals of Operations Research. 201 (1): 325–343. doi:10.1007/s10479-012-1229-8. S2CID 45585936.

pm-research.com

López de Prado, Marcos (31 May 2016). "Building Diversified Portfolios that Outperform Out of Sample". The Journal of Portfolio Management. 42 (4): 59–69. doi:10.3905/jpm.2016.42.4.059. ISSN 0095-4918.

pyportfolioopt.readthedocs.io

Robert Martin (2018). Black-Litterman Allocation

researchgate.net

Grechuk, B., Molyboha, A., Zabarankin, M. (2013). "Cooperative games with general deviation measures", Mathematical Finance, 23(2), 339–365.

semanticscholar.org

api.semanticscholar.org

Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando (1 January 2008). "Optimal portfolio allocation with higher moments". Annals of Finance. 4 (1): 1–28. doi:10.1007/s10436-007-0071-5. ISSN 1614-2446. S2CID 16514619.
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar; Fabozzi, Frank J.; Mignacca, Domenico (21 November 2012). "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model". Annals of Operations Research. 201 (1): 325–343. doi:10.1007/s10479-012-1229-8. S2CID 45585936.
Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.
Talebi, Arash; Molaei, Sheikh (17 September 2010). "Performance investigation and comparison of two evolutionary algorithms in portfolio optimization: Genetic and particle swarm optimization". 2010 2nd IEEE International Conference on Information and Financial Engineering. pp. 430–437. doi:10.1109/icife.2010.5609394. ISBN 978-1-4244-6927-7. S2CID 17386345.
Zhu, Zhe; Welsch, Roy E. (2018). "Robust dependence modeling for high-dimensional covariance matrices with financial applications". Ann. Appl. Stat. 12 (2): 1228–1249. doi:10.1214/17-AOAS1087. S2CID 23490041.
Chua, D.; Krizman, M.; Page, S. (2009). "The Myth of Diversification". Journal of Portfolio Management. 36 (1): 26–35. doi:10.3905/JPM.2009.36.1.026. S2CID 154921810.
Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. (2013). "Canonical vine copulas in the context of modern portfolio management: Are they worth it?" (PDF). Journal of Banking & Finance. 37 (8): 3085. doi:10.1016/j.jbankfin.2013.02.036. S2CID 154138333.
Chua, David; Kritzman, Mark; Page, Sebastien (2009). "The Myth of Diversification". Journal of Portfolio Management. 36 (1): 26–35. doi:10.3905/JPM.2009.36.1.026. S2CID 154921810.
Xia, Jianming (2004). "Multi-agent investment in incomplete markets". Finance and Stochastics. 8 (2): 241–259. doi:10.1007/s00780-003-0115-2. S2CID 7162635.

stanford.edu

web.stanford.edu

The Critical Line Method in William Sharpe, Macro-Investment Analysis (online text)

unice.fr

www-math.unice.fr

Sefiane, Slimane and Benbouziane, Mohamed (2012). Portfolio Selection Using Genetic Algorithm Archived 29 April 2016 at the Wayback Machine, Journal of Applied Finance & Banking, Vol. 2, No. 4 (2012): pp. 143–154.

uq.edu.au

espace.library.uq.edu.au

Humphrey, J.; Benson, K.; Low, R.K.Y.; Lee, W.L. (2015). "Is diversification always optimal?" (PDF). Pacific Basin Finance Journal. 35 (B): B. doi:10.1016/j.pacfin.2015.09.003.
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.
Low, R.K.Y.; Alcock, J.; Faff, R.; Brailsford, T. (2013). "Canonical vine copulas in the context of modern portfolio management: Are they worth it?" (PDF). Journal of Banking & Finance. 37 (8): 3085. doi:10.1016/j.jbankfin.2013.02.036. S2CID 154138333.

uwaterloo.ca

cs.uwaterloo.ca

Kapsos, Michalis; Zymler, Steve; Christofides, Nicos; Rustem, Berç (Summer 2014). "Optimizing the Omega Ratio using Linear Programming" (PDF). Journal of Computational Finance. 17 (4): 49–57. doi:10.21314/JCF.2014.283.

washington.edu

sites.math.washington.edu

Rockafellar, R. Tyrrell; Uryasev, Stanislav (2000). "Optimization of conditional value-at-risk" (PDF). Journal of Risk. 2 (3): 21–42. doi:10.21314/JOR.2000.038. S2CID 854622.

web.archive.org

Sefiane, Slimane and Benbouziane, Mohamed (2012). Portfolio Selection Using Genetic Algorithm Archived 29 April 2016 at the Wayback Machine, Journal of Applied Finance & Banking, Vol. 2, No. 4 (2012): pp. 143–154.

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

search.worldcat.org

Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando (1 January 2008). "Optimal portfolio allocation with higher moments". Annals of Finance. 4 (1): 1–28. doi:10.1007/s10436-007-0071-5. ISSN 1614-2446. S2CID 16514619.
López de Prado, Marcos (31 May 2016). "Building Diversified Portfolios that Outperform Out of Sample". The Journal of Portfolio Management. 42 (4): 59–69. doi:10.3905/jpm.2016.42.4.059. ISSN 0095-4918.

yale.edu

cowles.econ.yale.edu

Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons. (reprinted by Yale University Press, 1970, ISBN 978-0-300-01372-6; 2nd ed. Basil Blackwell, 1991, ISBN 978-1-55786-108-5)