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Portfolio Theory: As I Still See It

Citations

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Cited by:

  1. Yonghe Lu & Yanrong Yang & Terry Zhang, 2024. "Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy," Papers 2411.18830, arXiv.org.
  2. Ankit Dangi, 2013. "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?," Papers 1301.4194, arXiv.org.
  3. Westphal, Igor, 2024. "The effects of reducing renewable power intermittency through portfolio diversification," Renewable and Sustainable Energy Reviews, Elsevier, vol. 197(C).
  4. Susanne Neuner & Thomas Knoke, 2017. "Economic consequences of altered survival of mixed or pure Norway spruce under a dryer and warmer climate," Climatic Change, Springer, vol. 140(3), pages 519-531, February.
  5. José Alex Gualotuña Parra & Omar Valverde-Arias & Ana M. Tarquis & Juan B. Grau Olivé & Federico Colombo Speroni & Antonio Saa-Requejo, 2023. "Combining Markowitz Portfolio Model and Simplex Algorithm to Achieve Sustainable Land Management Objectives: Case Study of Rivadavia Banda Norte, Salta (Argentina)," Sustainability, MDPI, vol. 15(14), pages 1-22, July.
  6. Reus, Lorenzo & Mulvey, John M., 2016. "Dynamic allocations for currency futures under switching regimes signals," European Journal of Operational Research, Elsevier, vol. 253(1), pages 85-93.
  7. Ashfaq, Saira & Ayub, Usman & Mujtaba, Ghulam & Raza, Naveed & Gulzar, Saqib, 2021. "Gainers and losers with higher order portfolio risk optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
  8. Kassimatis, Konstantinos, 2021. "Mean-variance versus utility maximization revisited: The case of constant relative risk aversion," International Review of Financial Analysis, Elsevier, vol. 78(C).
  9. Abhimanyu Nag & Dhruv Bodani & Abhishek Kumar, 2025. "Economic Security of Multiple Shared Security Protocols," Papers 2505.03843, arXiv.org, revised May 2025.
  10. Hector O. Zapata & Supratik Mukhopadhyay, 2022. "A Bibliometric Analysis of Machine Learning Econometrics in Asset Pricing," JRFM, MDPI, vol. 15(11), pages 1-17, November.
  11. Paut, Raphaël & Sabatier, Rodolphe & Tchamitchian, Marc, 2019. "Reducing risk through crop diversification: An application of portfolio theory to diversified horticultural systems," Agricultural Systems, Elsevier, vol. 168(C), pages 123-130.
  12. Ochoa. M, W. Santiago & Härtl, Fabian H. & Paul, Carola & Knoke, Thomas, 2019. "Cropping systems are homogenized by off-farm income – Empirical evidence from small-scale farming systems in dry forests of southern Ecuador," Land Use Policy, Elsevier, vol. 82(C), pages 204-219.
  13. Fernando Spadea & Oshani Seneviratne, 2025. "Aligning Language Models with Investor and Market Behavior for Financial Recommendations," Papers 2510.15993, arXiv.org.
  14. Usman Ayub & Samaila Kausar & Umara Noreen & Muhammad Zakaria & Imran Abbas Jadoon, 2020. "Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
  15. Fima Klebaner & Zinoviy Landsman & Udi Makov & Jing Yao, 2017. "Optimal portfolios with downside risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 315-325, March.
  16. Friedrich, Stefan & Paul, Carola & Brandl, Susanne & Biber, Peter & Messerer, Katharina & Knoke, Thomas, 2019. "Economic impact of growth effects in mixed stands of Norway spruce and European beech – A simulation based study," Forest Policy and Economics, Elsevier, vol. 104(C), pages 65-80.
  17. Wang, Chuhong & Liu, Xingfei & Tani, Massimiliano & Zhao, Yan, 2025. "Safety nets and investment choices," Emerging Markets Review, Elsevier, vol. 68(C).
  18. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
  19. Charles E. Phelps, 2024. "A user’s guide to economic utility functions," Journal of Risk and Uncertainty, Springer, vol. 69(3), pages 235-280, December.
  20. repec:hal:wpceem:hal-03883121 is not listed on IDEAS
  21. Qingyuan Han, 2025. "Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-37, December.
  22. Muhammad Amjed Iqbal & Muhammad Rizwan & Azhar Abbas & Muhammad Sohail Amjad Makhdum & Rakhshanda Kousar & Muhammad Nazam & Abdus Samie & Nasir Nadeem, 2021. "A Quest for Livelihood Sustainability? Patterns, Motives and Determinants of Non-Farm Income Diversification among Agricultural Households in Punjab, Pakistan," Sustainability, MDPI, vol. 13(16), pages 1-14, August.
  23. Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  24. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
  25. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
  26. Tuoyuan Cheng & Kan Chen, 2023. "A General Framework for Portfolio Construction Based on Generative Models of Asset Returns," Papers 2312.03294, arXiv.org.
  27. Dimitris Bertsimas & Agni Orfanoudaki, 2021. "Algorithmic Insurance," Papers 2106.00839, arXiv.org, revised Mar 2026.
  28. Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2021. "Why finance professionals hold green and brown assets? A lab-in-the-field experiment [Pourquoi investir dans le vert et le brun ? Une expérience sur des professionnels de la finance]," Working Papers hal-03285376, HAL.
  29. Knoke, Thomas & Paul, Carola & Härtl, Fabian & Castro, Luz Maria & Calvas, Baltazar & Hildebrandt, Patrick, 2015. "Optimizing agricultural land-use portfolios with scarce data—A non-stochastic model," Ecological Economics, Elsevier, vol. 120(C), pages 250-259.
  30. Boyang Lu, Garrick Louis, 2024. "Portfolio Agriculture: A Model for Resilient Regional Agricultural Planning," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 5(4), October.
  31. Peel, D.A., 2013. "Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets," Economics Letters, Elsevier, vol. 119(3), pages 264-267.
  32. Dennery, Charles & Direr, Alexis, 2014. "Optimal lottery," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 15-23.
  33. Charles E. Phelps, 2023. "Optimal health insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(1), pages 213-241, March.
  34. Luz Maria Castro & Baltazar Calvas & Thomas Knoke, 2015. "Ecuadorian Banana Farms Should Consider Organic Banana with Low Price Risks in Their Land-Use Portfolios," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-23, March.
  35. Viole, Fred & Nawrocki, David, 2013. "An analysis of heterogeneous utility benchmarks in a zero return environment," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 190-198.
  36. Xue-Zhong He, 2019. "Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1397-1401, April.
  37. George Samartzis & Nikitas Pittis, 2022. "On The Equivalence Of The Mean Variance Criterion And Stochastic Dominance Criteria," Papers 2211.01240, arXiv.org.
  38. Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2021. "Why finance professionals hold green and brown assets? A lab-in-the-field experiment [Pourquoi investir dans le vert et le brun ? Une expérience sur des professionnels de la finance]," Working Papers hal-03285376, HAL.
  39. Ferry, Marin & de Montalembert, Jeanne, 2025. "Mitigating climate vulnerability: the crop diversification effect," Ecological Economics, Elsevier, vol. 233(C).
  40. Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  41. Christoph Czichowsky & Martin Herdegen & David Martins, 2024. "Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets," Papers 2408.03134, arXiv.org.
  42. Lu, Boyang; Louis, Garrick, 2024. "Portfolio Agriculture: A Model for Resilient Regional Agricultural Planning," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 5(4), October.
  43. Nawrocki, David & Viole, Fred, 2024. "Estimation error and partial moments," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  44. Qu, Xiangyu, 2017. "Subjective mean–variance preferences without expected utility," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 31-39.
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