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Portfolio Analysis Using Single Index, Multi-index, and Constant Correlation Models: A Unified Treatment

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  • Kwan, Clarence C Y

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  • Kwan, Clarence C Y, 1984. "Portfolio Analysis Using Single Index, Multi-index, and Constant Correlation Models: A Unified Treatment," Journal of Finance, American Finance Association, vol. 39(5), pages 1469-1483, December.
    • Handle: RePEc:bla:jfinan:v:39:y:1984:i:5:p:1469-83
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    Cited by:

    1. Jensen, Bjarne Astrup, 2001. "Mean variance efficient portfolios by linear programming: A review of some portfolio selection criteria of Elton, Gruber and Padberg," Working Papers 2001-2, Copenhagen Business School, Department of Finance.
    2. Frankfurter, George M. & Phillips, Herbert E., 1996. "Normative implications of equilibrium models: Homogeneous expectations and other artificialities," Journal of Economic Behavior & Organization, Elsevier, vol. 31(1), pages 67-83, October.
    3. C.Y. Kwan, Clarence, 1999. "A note on market-neutral portfolio selection," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 773-800, May.
    4. Kwan, Clarence C. Y., 1995. "Optimal portfolio selection under institutional procedures for short selling," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 871-889, August.
    5. Mitra, Sovan & Karathanasopoulos, Andreas & Sermpinis, Georgios & Dunis, Christian & Hood, John, 2015. "Operational risk: Emerging markets, sectors and measurement," European Journal of Operational Research, Elsevier, vol. 241(1), pages 122-132.
    6. Chang-Tesh Hsieh & Iskandar Hamwi & Tim Hudson, 2002. "An inflation-hedging portfolio selection model," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(1), pages 20-34, February.

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