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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. Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
  2. 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.
  3. 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.
  4. 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.
  5. Choi, Tsan-Ming & Li, Duan & Yan, Houmin, 2008. "Mean-variance analysis of a single supplier and retailer supply chain under a returns policy," European Journal of Operational Research, Elsevier, vol. 184(1), pages 356-376, January.
  6. 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.
  7. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  8. Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers 16-025/III, Tinbergen Institute.
  9. 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.
  10. Diamond, Harvey & Gelles, Gregory, 1999. "Gaussian approximation of expected utility," Economics Letters, Elsevier, vol. 64(3), pages 301-307, September.
  11. Jan A. Van Mieghem, 2003. "Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments," Manufacturing & Service Operations Management, INFORMS, vol. 5(4), pages 269-302, July.
  12. 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.
  13. Phillips Peter J, 2011. "Lone Wolf Terrorism," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 17(1), pages 1-31, March.
  14. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
  15. Sun, Xuelian & Liu, Zixian, 2016. "Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 667-679.
  16. 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.
  17. 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.
  18. 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.
  19. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
  20. 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.
  21. 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.
  22. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 395-410, July.
  23. Andre, Francisco J. & Riesgo, Laura, 2007. "A non-interactive elicitation method for non-linear multiattribute utility functions: Theory and application to agricultural economics," European Journal of Operational Research, Elsevier, vol. 181(2), pages 793-807, September.
  24. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
  25. 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.
  26. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
  27. Brouwer, Frank & Ruiter, Hans de, 1997. "Asset class allocation and downside risk: does the investment horizon matter?," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  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. Lence, Sergio H., 1996. "Relaxing the Assumptions of Minimum-Variance Hedging," Staff General Research Papers 5156, Iowa State University, Department of Economics.
  30. Ronen, Boaz & Spector, Yishay, 1995. "Evaluating sampling strategy under two criteria," European Journal of Operational Research, Elsevier, vol. 80(1), pages 59-67, January.
  31. Mumey, G.A. & Bauer, L. & Boyda, A., 1988. "An Estimate of Risk and Returns From Cropping Alternatives," Project Report Series 232065, University of Alberta, Department of Resource Economics and Environmental Sociology.
  32. 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.
  33. 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.
  34. Levy, Moshe & Nir, Adi Rizansky, 2012. "The utility of health and wealth," Journal of Health Economics, Elsevier, vol. 31(2), pages 379-392.
  35. 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.
  36. Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
  37. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  38. Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
  39. 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.
  40. Joseph R. Blasi & Douglas L. Kruse & Harry M. Markowitz, 2010. "Risk and Lack of Diversification under Employee Ownership and Shared Capitalism," NBER Chapters, in: Shared Capitalism at Work: Employee Ownership, Profit and Gain Sharing, and Broad-based Stock Options, pages 105-136 National Bureau of Economic Research, Inc.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. Bos, Jaap W.B. & Millone, Matteo, 2015. "Practice What You Preach: Microfinance Business Models and Operational Efficiency," World Development, Elsevier, vol. 70(C), pages 28-42.
  46. 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.
  47. 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.
  48. 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.
  49. Satyanarayan, Sudhakar & Somensatto, Eduardo, 1997. "Tradeoffs from hedging oil pricerisk in Ecuador," Policy Research Working Paper Series 1792, The World Bank.
  50. Guo, Xu & Lien, Donald & Wong, Wing-Keung, 2015. "Good Approximation of Exponential Utility Function for Optimal Futures Hedging," MPRA Paper 66841, University Library of Munich, Germany.
  51. 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.
  52. 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.
  53. 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.
  54. Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
  55. Breuer, Wolfgang & Gürtler, Marc, 2002. "Performance evaluation, portfolio selection, and HARA utility," Working Papers FW01V4, Technische Universität Braunschweig, Institute of Finance.
  56. Nagurney, Anna & Ke, Ke, 2006. "Financial networks with intermediation: Risk management with variable weights," European Journal of Operational Research, Elsevier, vol. 172(1), pages 40-63, July.
  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. 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.
  59. 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.
  60. Huisman, Ronald & Mahieu, Ronald & Schlichter, Felix, 2009. "Electricity portfolio management: Optimal peak/off-peak allocations," Energy Economics, Elsevier, vol. 31(1), pages 169-174, January.
  61. Alexandros Kostakis & Nikolaos Panigirtzoglou & George Skiadopoulos, 2011. "Market Timing with Option-Implied Distributions: A Forward-Looking Approach," Management Science, INFORMS, vol. 57(7), pages 1231-1249, July.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
  67. 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.
  68. 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.
  69. 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.
  70. M. Glawischnig & I. Seidl, 2013. "Portfolio optimization with serially correlated, skewed and fat tailed index returns," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(1), pages 153-176, January.
  71. Breuer, Wolfgang & Gürtler, Marc, 2004. "Two-Fund separation and positive marginal utility," Working Papers FW11V3, Technische Universität Braunschweig, Institute of Finance.
  72. 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.
  73. 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.
  74. 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 (IFAMA), vol. 14(4).
  75. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
  76. Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
  77. 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.
  78. 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.
  79. repec:hal:journl:halshs-00336475 is not listed on IDEAS
  80. repec:spr:compst:v:69:y:2009:i:3:p:395-410 is not listed on IDEAS
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