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Randomly generating portfolio-selection covariance matrices with specified distributional characteristics

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  • Hirschberger, Markus
  • Qi, Yue
  • Steuer, Ralph E.

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  • Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
  • Handle: RePEc:eee:ejores:v:177:y:2007:i:3:p:1610-1625
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    References listed on IDEAS

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    1. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    4. Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Science & Finance (CFM) working paper archive 500050, Science & Finance, Capital Fund Management.
    5. Włodzimierz Ogryczak, 2000. "Multiple criteria linear programming model for portfolio selection," Annals of Operations Research, Springer, vol. 97(1), pages 143-162, December.
    6. Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
    7. Pafka, Szilárd & Kondor, Imre, 2003. "Noisy covariance matrices and portfolio optimization II," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 487-494.
    8. Korhonen, Pekka & Yu, GuangYuan, 1997. "A reference direction approach to multiple objective quadratic-linear programming," European Journal of Operational Research, Elsevier, vol. 102(3), pages 601-610, November.
    9. Ledyard Tucker & Raymond Koopman & Robert Linn, 1969. "Evaluation of factor analytic research procedures by means of simulated correlation matrices," Psychometrika, Springer;The Psychometric Society, vol. 34(4), pages 421-459, December.
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    Cited by:

    1. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2010. "Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming," European Journal of Operational Research, Elsevier, vol. 204(3), pages 581-588, August.
    2. Branke, J. & Scheckenbach, B. & Stein, M. & Deb, K. & Schmeck, H., 2009. "Portfolio optimization with an envelope-based multi-objective evolutionary algorithm," European Journal of Operational Research, Elsevier, vol. 199(3), pages 684-693, December.
    3. Ralph Steuer & Markus Hirschberger & Kalyanmoy Deb, 2016. "Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers," Journal of Global Optimization, Springer, vol. 64(1), pages 33-48, January.
    4. Ralph E. Steuer & Markus Hirschberger & Kalyanmoy Deb, 2016. "Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers," Journal of Global Optimization, Springer, vol. 64(1), pages 33-48, January.
    5. Liu, Yong-Jun & Zhang, Wei-Guo, 2013. "Fuzzy portfolio optimization model under real constraints," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 704-711.
    6. Huang, Xiaoxia, 2008. "Portfolio selection with a new definition of risk," European Journal of Operational Research, Elsevier, vol. 186(1), pages 351-357, April.
    7. Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
    8. Akhter Mohiuddin Rather, 2012. "Portfolio selection using mean-risk model and mean-risk diversification model," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 14(3), pages 324-342.

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