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An optimization–diversification approach to portfolio selection

https://doi.org/10.1007/s10898-019-00809-7
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Practical Portfolio Performance Measurement and Attribution
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Practical Portfolio Performance Measurement and Attribution
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A polyhedral branch-and-cut approach to global optimization
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A new method for mean-variance portfolio optimization with cardinality constraints
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Construction of a portfolio with shorter downside tail and longer upside tail
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Equal Risk Bounding is better than Risk Parity for portfolio selection
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Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models
inferredcites →https://doi.org/10.1016/j.ejor.2015.11.037openalex-snapshot
Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem
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On exact and approximate stochastic dominance strategies for portfolio selection
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The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms
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A risk-gain dominance maximization approach to enhanced index tracking
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How performance of risk-based strategies is modified by socially responsible investment universe?
inferredcites →https://doi.org/10.1016/j.jbankfin.2006.12.003openalex-snapshot
Noise sensitivity of portfolio selection under various risk measures
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.02.006openalex-snapshot
Momentum strategies based on reward–risk stock selection criteria
inferredcites →https://doi.org/10.1016/j.jbankfin.2011.07.018openalex-snapshot
The 1/N investment strategy is optimal under high model ambiguity
inferredcites →https://doi.org/10.1016/j.jempfin.2020.10.003openalex-snapshot
On the stability of portfolio selection models
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.013openalex-snapshot
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
inferredcites →https://doi.org/10.1057/s41274-017-0216-5openalex-snapshot
Minimum risk versus capital and risk diversification strategies for portfolio construction
inferredcites →https://doi.org/10.1080/13504860701255292openalex-snapshot
Optimal Financial Portfolios
inferredcites →https://doi.org/10.1080/14697688.2015.1031815openalex-snapshot
Least-squares approach to risk parity in portfolio selection
inferredcites →https://doi.org/10.1086/294846openalex-snapshot
Mutual Fund Performance
inferredcites →https://doi.org/10.1093/rfs/4.2.315openalex-snapshot
On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-snapshot
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1111/j.1540-6261.1968.tb00815.xopenalex-snapshot
THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
inferredcites →https://doi.org/10.1142/s0219024908004713openalex-snapshot
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
inferredcites →https://doi.org/10.1142/s0219024913500295openalex-snapshot
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
inferredcites →https://doi.org/10.1287/mnsc.37.8.980openalex-snapshot
Sensitivity Analysis for Mean-Variance Portfolio Problems
inferredcites →https://doi.org/10.21314/jois.2013.033openalex-snapshot
Properties of the most diversified portfolio
inferredcites →https://doi.org/10.21314/jor.2013.258openalex-snapshot
Asset Allocation with Conditional Value-at-Risk Budgets
inferredcites →https://doi.org/10.21314/jor.2014.284openalex-snapshot
Diversifying risk parity
inferredcites →https://doi.org/10.2139/ssrn.2272973openalex-snapshot
Introduction to Risk Parity and Budgeting
inferredcites →https://doi.org/10.2139/ssrn.2276632openalex-snapshot
Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors
inferredcites →https://doi.org/10.2139/ssrn.2297383openalex-snapshot
An Algorithm for Computing Risk Parity Weights
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Portfolio Selection: Efficient Diversification of Investments.
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Leverage Aversion and Risk Parity
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Will My Risk Parity Strategy Outperform?
inferredcites →https://doi.org/10.3905/jai.2014.16.4.028openalex-snapshot
Frontier Equity Markets: Risk Parity Lessons for Asset Allocation
inferredcites →https://doi.org/10.3905/joi.2011.20.1.108openalex-snapshot
Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios
inferredcites →https://doi.org/10.3905/joi.2011.20.1.119openalex-snapshot
Risk Parity and Diversification
inferredcites →https://doi.org/10.3905/jpm.1993.409440openalex-snapshot
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
inferredcites →https://doi.org/10.3905/jpm.1994.409501openalex-snapshot
The Sharpe Ratio
inferredcites →https://doi.org/10.3905/jpm.2004.443328openalex-snapshot
Different Approaches to Risk Estimation in Portfolio Theory
inferredcites →https://doi.org/10.3905/jpm.2010.36.4.060openalex-snapshot
The Properties of Equally Weighted Risk Contribution Portfolios
inferredcites →https://doi.org/10.3905/jpm.2011.37.4.011openalex-snapshot
Risk-Based Asset Allocation: A New Answer to anOld Question?
inferredcites →https://doi.org/10.3905/jpm.2013.39.3.039openalex-snapshot
Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective
inferredcites →https://doi.org/10.3905/jpm.2015.41.2.023openalex-snapshot
The Resale Value of Risk-Parity Equity Portfolios

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Sparse Risk Parity Enhanced Index Tracking Portfolio
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A New Behavioral Model for Portfolio Selection Using the Half-Full/Half-Empty Approach
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A return-diversification approach to portfolio selection
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Portfolio decision analysis for pandemic sentiment assessment based on finance and web queries
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Sparse portfolio selection with uncertain probability distribution
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Nonmonotone trust region algorithm for solving the unconstrained multiobjective optimization problems
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A hybrid approach based on multi-criteria decision making and data-driven optimization in solving portfolio selection problem
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A combinatorial optimization approach to scenario filtering in portfolio selection
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Risk parity with expectiles
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A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach
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An experimental study on diversification in portfolio optimization
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On the stability of portfolio selection models
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Global optimization for bilevel portfolio design: Economic insights from the Dow Jones index
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Non-Linear Data Representation with Machine Learning for Dynamic Covariance Based Financial Portfolio Optimization
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A New Method for Project Ranking Based on Risk Management and Multicriteria Approach
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A hybrid approach based on multi-criteria decision making and data-based optimization in solving portfolio selection problem
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Sustainable Diversified Portfolios
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Z-score vs minimum variance preselection methods for constructing small portfolios
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Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution
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Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility
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Mean Squared Variance Portfolio: A Mixed-Integer Linear Programming Formulation
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ESIPO Methodology: An Ensemble Deep Learning and Metaheuristic Strategies for Stock Forecasting and Investment Portfolio Optimization
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