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Portfolio selection with a new definition of risk

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  • Huang, Xiaoxia

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  • Huang, Xiaoxia, 2008. "Portfolio selection with a new definition of risk," European Journal of Operational Research, Elsevier, vol. 186(1), pages 351-357, April.
    • Handle: RePEc:eee:ejores:v:186:y:2008:i:1:p:351-357
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    1. Michael J. Best & Jaroslava Hlouskova, 2000. "The efficient frontier for bounded assets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 52(2), pages 195-212, November.
    2. Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2001. "Using investment portfolio return to combine forecasts: A multiobjective approach," European Journal of Operational Research, Elsevier, vol. 134(1), pages 84-102, October.
    3. 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.
    4. Crama, Y. & Schyns, M., 2003. "Simulated annealing for complex portfolio selection problems," European Journal of Operational Research, Elsevier, vol. 150(3), pages 546-571, November.
    5. Castellacci, Giuseppe & Siclari, Michael J., 2003. "The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model," European Journal of Operational Research, Elsevier, vol. 150(3), pages 529-545, November.
    6. Mao, James C. T., 1970. "Models of Capital Budgeting, E-V VS E-S," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(5), pages 657-675, January.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    8. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
    9. 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.
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    Cited by:

    1. El Hedi Arouri, Mohamed & Rault, Christophe & Sova, Anamaria & Sova, Robert & Teulon, Frédéric, 2013. "Market structure and the cost of capital," Economic Modelling, Elsevier, vol. 31(C), pages 664-671.
    2. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    3. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
    4. Caiyu Jiang & Jianhua Wang, 2022. "A Portfolio Model with Risk Control Policy Based on Deep Reinforcement Learning," Mathematics, MDPI, vol. 11(1), pages 1-16, December.
    5. Ouatik El-Alaoui, AbdelKader & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2018. "Does low leverage minimise the impact of financial shocks? New optimisation strategies using Islamic stock screening for European portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 160-184.
    6. Armin Mahmoudi & Leila Hashemi & Milad Jasemi & James Pope, 2021. "A comparison on particle swarm optimization and genetic algorithm performances in deriving the efficient frontier of stocks portfolios based on a mean‐lower partial moment model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5659-5665, October.
    7. Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00798048, HAL.
    8. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    9. repec:ipg:wpaper:2014-053 is not listed on IDEAS
    10. Florentina Paraschiv & Dima Mohamad, 2020. "The Nuclear Power Dilemma—Between Perception and Reality," Energies, MDPI, vol. 13(22), pages 1-19, November.
    11. Fatemeh Parvaneh & Ahmed Hammad, 2024. "Application of Multi-Criteria Decision-Making (MCDM) to Select the Most Sustainable Power-Generating Technology," Sustainability, MDPI, vol. 16(8), pages 1-32, April.
    12. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.
    13. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.
    14. Dorfleitner, Gregor & Utz, Sebastian, 2012. "Safety first portfolio choice based on financial and sustainability returns," European Journal of Operational Research, Elsevier, vol. 221(1), pages 155-164.
    15. Mir Seyed Mohammad Mohsen Emamat & Caroline Maria de Miranda Mota & Mohammad Reza Mehregan & Mohammad Reza Sadeghi Moghadam & Philippe Nemery, 2022. "Using ELECTRE-TRI and FlowSort methods in a stock portfolio selection context," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-35, December.
    16. repec:ipg:wpaper:2014-351 is not listed on IDEAS
    17. Li, Bo & Li, Xiangfa & Teo, Kok Lay & Zheng, Peiyao, 2022. "A new uncertain random portfolio optimization model for complex systems with downside risks and diversification," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    18. Meryem Masmoudi & Fouad Ben Abdelaziz, 2018. "Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models," Annals of Operations Research, Springer, vol. 267(1), pages 335-352, August.
    19. Wei Chen & Yun Wang & Mukesh Kumar Mehlawat, 2018. "A hybrid FA–SA algorithm for fuzzy portfolio selection with transaction costs," Annals of Operations Research, Springer, vol. 269(1), pages 129-147, October.
    20. Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
    21. Limei Yan, 2009. "Optimal Portfolio Selection Models with Uncertain Returns," Modern Applied Science, Canadian Center of Science and Education, vol. 3(8), pages 1-76, August.
    22. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
    23. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
    24. Limei Yan, 2009. "Chance-constrained Programming Model for Portfolio Selection in Uncertain Environment," Modern Applied Science, Canadian Center of Science and Education, vol. 3(10), pages 1-89, October.
    25. Huang, Xiaoxia & Di, Hao, 2016. "Uncertain portfolio selection with background risk," Applied Mathematics and Computation, Elsevier, vol. 276(C), pages 284-296.

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