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Citations for " Mean-Variance versus Direct Utility Maximization"

by Kroll, Yoram & Levy, Haim & Markowitz, Harry M

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  1. repec:hal:journl:halshs-00336475 is not listed on IDEAS
  2. Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
  3. Levy, Moshe & Nir, Adi Rizansky, 2012. "The utility of health and wealth," Journal of Health Economics, Elsevier, vol. 31(2), pages 379-392.
  4. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  5. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  6. Phillips Peter J, 2011. "Lone Wolf Terrorism," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 17(1), pages 1-31, March.
  7. W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis.
  8. 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.
  9. 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.
  10. Alla A. Melkumian, 2006. "The opportunity cost of being constrained by the type of assets: Bonds only or stocks only," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-343, November.
  11. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
  12. Johnson, Michael & Malcolm, Bill & O'Connor, Ian, 2006. "The Role of Agribusiness Assets in Investment Portfolios," Australasian Agribusiness Review, University of Melbourne, Melbourne School of Land and Environment, vol. 14.
  13. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
  14. Johnson, Michael & O'Connor, Ian & Malcolm, Bill, 2006. "Agribusiness Assets in Investment Portfolios," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 139794, Australian Agricultural and Resource Economics Society.
  15. Leonard MacLean & Yonggan Zhao & William Ziemba, 2011. "Mean-variance versus expected utility in dynamic investment analysis," Computational Management Science, Springer, vol. 8(1), pages 3-22, April.
  16. Mullally, Conner & Boucher, Stephen R. & Carter, Michael R., 2010. "Perceptions and Participation: Mistaken Beliefs, Encouragement Designs, and Demand for Index Insurance," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61002, Agricultural and Applied Economics Association.
  17. Shen, Zhiwei & Odening, Martin, 2012. "Coping with Systemic Risk in Index-based Crop Insurance," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122555, European Association of Agricultural Economists.
  18. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
  19. Phillips Peter J, 2012. "The lone wolf terrorist: sprees of violence," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 18(3), pages 1-3, December.
  20. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
  21. Andrea Morone, 2005. "Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment," Papers on Strategic Interaction 2005-20, Max Planck Institute of Economics, Strategic Interaction Group.
  22. Manuel Arriaza & José Antonio Gómez-Limón Rodríguez, 2006. "El futuro del algodón en Andalucía tras la reforma del régimen de apoyo al cultivo," Revista de Estudios Regionales, Universidades Públicas de Andalucía, vol. 3, pages 13-46.
  23. Kritzman, Mark & Page, Sébastien & Myrgren, Simon, 2007. "Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic," Working papers 37153, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  24. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
  25. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  26. Gomez-Limon, Jose Antonio & Riesgo, Laura & Arriaza Balmón, Manuel, 2002. "Agricultural Risk Aversion Revisited: A Multicriteria Decision-Making Approach," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24827, European Association of Agricultural Economists.
  27. Joseph R. Blasi & Douglas L. Kruse & Harry M. Markowitz, 2008. "Risk and Lack of Diversification under Employee Ownership and Shared Capitalism," NBER Working Papers 14229, National Bureau of Economic Research, Inc.
  28. Geoffrey Poitras & John Heaney, 1999. "Skewness preference, mean-variance and the demand for put options," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 20(6), pages 327-342.
  29. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2009. "Electricity portfolio management : Optimal peak/off-peak allocations," Other publications TiSEM f880b2e6-c56c-483c-9334-9, Tilburg University, School of Economics and Management.
  30. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer, vol. 69(3), pages 395-410, July.
  31. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.
  32. Alice A. Melkumian, 2012. "The Opportunity Cost of Holding a “Naive” Portfolio," The Journal of Economics, Missouri Valley Economic Association, vol. 38(1), pages 23-42.
  33. Perez-Mesa, Juan Carlos & Galdeano-Gomez, Emilio & Aznar-Sanchez, Jose A., 2011. "Management System for Harvest Scheduling: The Case of Horticultural Production in Southeast Spain," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association (IAMA), vol. 14(4).
  34. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  35. Simaan, Yusif, 2014. "The opportunity cost of mean–variance choice under estimation risk," European Journal of Operational Research, Elsevier, vol. 234(2), pages 382-391.
  36. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
  37. Breuer, Wolfgang & Gürtler, Marc, 2004. "Two-Fund separation and positive marginal utility," Working Papers FW11V3, Technische Universität Braunschweig, Institute of Finance.
  38. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2006. "Théorie comportementale du portefeuille. Intérêt et limites," Revue économique, Presses de Sciences-Po, vol. 57(2), pages 297-314.
  39. Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
  40. Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
  41. repec:spr:compst:v:69:y:2009:i:3:p:395-410 is not listed on IDEAS
  42. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
  43. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
  44. Lence, Sergio H., 1996. "Relaxing the Assumptions of Minimum-Variance Hedging," Staff General Research Papers 5156, Iowa State University, Department of Economics.
  45. David Moreno & Paulina Marco & Ignacio Olmeda, 2005. "Risk forecasting models and optimal portfolio selection," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1267-1281.
  46. António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF - Faculdade de Economia, Universidade de Coimbra.
  47. Breuer, Wolfgang & Gürtler, Marc, 2002. "Performance evaluation, portfolio selection, and HARA utility," Working Papers FW01V4, Technische Universität Braunschweig, Institute of Finance.
  48. Miller, Stephen E., 1986. "Forward Contracting Versus Hedging Under Price And Yield Uncertainty," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 18(02), December.
  49. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
  50. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  51. Lee, Yongheon & Oren, Shmuel S., 2009. "An equilibrium pricing model for weather derivatives in a multi-commodity setting," Energy Economics, Elsevier, vol. 31(5), pages 702-713, September.
  52. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
  53. MacEwan, Duncan & Howitt, Richard E., 2012. "Behavioral Salinity Response: Estimating Salinity Policies from Remote Sensed Micro-Data," 2012 Conference (56th), February 7-10, 2012, Freemantle, Australia 124331, Australian Agricultural and Resource Economics Society.
  54. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
  55. Diamond, Harvey & Gelles, Gregory, 1999. "Gaussian approximation of expected utility," Economics Letters, Elsevier, vol. 64(3), pages 301-307, September.
  56. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations," ERIM Report Series Research in Management ERS-2007-089-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  57. Gomez-Limon, Jose A. & Arriaza, Manuel & Riesgo, Laura, 2003. "An MCDM analysis of agricultural risk aversion," European Journal of Operational Research, Elsevier, vol. 151(3), pages 569-585, December.
  58. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  59. Ronen, Boaz & Spector, Yishay, 1995. "Evaluating sampling strategy under two criteria," European Journal of Operational Research, Elsevier, vol. 80(1), pages 59-67, January.
  60. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
  61. Satyanarayan, Sudhakar & Somensatto, Eduardo, 1997. "Tradeoffs from hedging oil pricerisk in Ecuador," Policy Research Working Paper Series 1792, The World Bank.
  62. Carlos Vidal-Meliá & Inmaculada Domínguez-Fabián & María del Carmen Boado-Penas, . "Notional Defined Contribution Accounts (NDCs): Solvency and Risk; Application to the Case of Spain," Studies on the Spanish Economy 226, FEDEA.
  63. repec:dgr:vuarem:1997-12 is not listed on IDEAS
  64. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
  65. Basak, Gopal & Jagannathan, Ravi & Sun, Guoqiang, 2002. "A direct test for the mean variance efficiency of a portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1195-1215, July.
  66. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
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