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Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model

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Cited by:

  1. Eun-chong Kim & Han-wook Jeong & Nak-young Lee, 2019. "Global Asset Allocation Strategy Using a Hidden Markov Model," JRFM, MDPI, vol. 12(4), pages 1-15, November.
  2. Wojtek Michalowski & Włodzimierz Ogryczak, 2001. "Extending the MAD portfolio optimization model to incorporate downside risk aversion," Naval Research Logistics (NRL), John Wiley & Sons, vol. 48(3), pages 185-200, April.
  3. Becker, Franziska & Gürtler, Marc & Hibbeln, Martin, 2009. "Markowitz versus Michaud: Portfolio optimization strategies reconsidered," Working Papers IF30V3, Technische Universität Braunschweig, Institute of Finance.
  4. Deng, Xiao-Tie & Li, Zhong-Fei & Wang, Shou-Yang, 2005. "A minimax portfolio selection strategy with equilibrium," European Journal of Operational Research, Elsevier, vol. 166(1), pages 278-292, October.
  5. Li, Bo & Zhang, Ranran, 2021. "A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
  6. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
  7. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
  8. Heonbae Jeon & Soonbong Lee & Hongseon Kim & Seung Bum Soh & Seongmoon Kim, 2023. "Portfolio Evaluation with the Vector Distance Based on Portfolio Composition," Mathematics, MDPI, vol. 11(1), pages 1-19, January.
  9. Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021. "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1825-1853, November.
  10. Marcel, Bräutigam & Marie, Kratz, 2018. "On the Dependence between Quantiles and Dispersion Estimators," ESSEC Working Papers WP1807, ESSEC Research Center, ESSEC Business School.
  11. Gotoh, Jun-ya & Takeda, Akiko, 2012. "Minimizing loss probability bounds for portfolio selection," European Journal of Operational Research, Elsevier, vol. 217(2), pages 371-380.
  12. Tze Leung Lai & Haipeng Xing & Zehao Chen, 2011. "Mean--variance portfolio optimization when means and covariances are unknown," Papers 1108.0996, arXiv.org.
  13. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  14. Marie Brière & Ariane Szafarz, 2021. "When it rains, it pours: Multifactor asset management in good and bad times," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 641-669, September.
  15. Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
  16. Sabastine Mushori & Delson Chikobvu, 2018. "Investment Opportunities, Uncertain Implicit Transaction Costs and Maximum Downside Risk in Dynamic Stochastic Financial Optimization," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 256-264.
  17. Shlomo Yitzhaki & Peter Lambert, 2013. "The relationship between the absolute deviation from a quantile and Gini’s mean difference," METRON, Springer;Sapienza Università di Roma, vol. 71(2), pages 97-104, September.
  18. Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
  19. Hasan, Iftekhar & Simaan, Yusif, 2000. "A rational explanation for home country bias," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 331-361, June.
  20. Marcel Bräutigam & Marie Kratz, 2018. "On the Dependence between Quantiles and Dispersion Estimators," Working Papers hal-02296832, HAL.
  21. Li, Hua & Bai, Zhidong & Wong, Wing-Keung & McAleer, Michael, 2022. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometrics and Statistics, Elsevier, vol. 24(C), pages 133-150.
  22. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
  23. Hoe, Lam Weng & Saiful Hafizah, Jaaman & Zaidi, Isa, 2010. "An empirical comparison of different risk measures in portfolio optimization," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 1(1), pages 1-7, April.
  24. Sabastine Mushori & Delson Chikobvu, 2016. "A Stochastic Multi-stage Trading Cost model in optimal portfolio selection," EERI Research Paper Series EERI RP 2016/23, Economics and Econometrics Research Institute (EERI), Brussels.
  25. Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018. "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 49-63, January.
  26. Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann, 2018. "Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies," IRTG 1792 Discussion Papers 2018-058, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  27. Madlener, Reinhard & Glensk, Barbara & Weber, Veronika, 2011. "Fuzzy Portfolio Optimization of Onshore Wind Power Plants," FCN Working Papers 10/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Jul 2014.
  28. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2015. "Informatics, Data Mining, Econometrics and Financial Economics: A Connection," Econometric Institute Research Papers EI2015-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. Hurley, W.J. & Brimberg, Jack, 2015. "A note on the sensitivity of the strategic asset allocation problem," Operations Research Perspectives, Elsevier, vol. 2(C), pages 133-136.
  30. Fang, Yong & Lai, K.K. & Wang, Shou-Yang, 2006. "Portfolio rebalancing model with transaction costs based on fuzzy decision theory," European Journal of Operational Research, Elsevier, vol. 175(2), pages 879-893, December.
  31. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
  32. Li, Y.Z. & Li, K.C. & Wang, P. & Liu, Y. & Lin, X.N. & Gooi, H.B. & Li, G.F. & Cai, D.L. & Luo, Y., 2017. "Risk constrained economic dispatch with integration of wind power by multi-objective optimization approach," Energy, Elsevier, vol. 126(C), pages 810-820.
  33. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  34. Jim Kyung-Soo Liew & Ahmad Ajakh, 2020. "Volatility-Adjusted 60/40 versus 100—New Risk Investing Paradigm," JRFM, MDPI, vol. 13(9), pages 1-6, August.
  35. Jing-Rung Yu & Wan-Jiun Paul Chiou & Jian-Hong Yang, 2017. "Diversification benefits of risk portfolio models: a case of Taiwan’s stock market," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 467-502, February.
  36. Barak, Sasan & Abessi, Masoud & Modarres, Mohammad, 2013. "Fuzzy turnover rate chance constraints portfolio model," European Journal of Operational Research, Elsevier, vol. 228(1), pages 141-147.
  37. Jianhua Zhu & Julien S. Baker & Zhiting Song & Xiao-Guang Yue & Wenqi Li, 2023. "Government regulatory policies for digital transformation in small and medium-sized manufacturing enterprises: an evolutionary game analysis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-18, December.
  38. Nigel Meade & Gerry Salkin, 2000. "The selection of multinational equity portfolios: forecasting models and estimation risk," The European Journal of Finance, Taylor & Francis Journals, vol. 6(3), pages 259-279.
  39. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.
  40. H S Ryoo, 2007. "A compact mean-variance-skewness model for large-scale portfolio optimization and its application to the NYSE market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(4), pages 505-515, April.
  41. Yu, Mei & Takahashi, Satoru & Inoue, Hiroshi & Wang, Shouyang, 2010. "Dynamic portfolio optimization with risk control for absolute deviation model," European Journal of Operational Research, Elsevier, vol. 201(2), pages 349-364, March.
  42. Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.
  43. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org.
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