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Citations for "Foundations of Portfolio Theory"

by Markowitz, Harry M.

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  1. W. Briec & K. Kerstens, 2010. "Portfolio selection in multidimensional general and partial moment space," Post-Print halshs-00473219, HAL.
  2. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
  3. Tarrazo, Manuel, 1997. "An application of fuzzy set theory to the individual investor problem," Financial Services Review, Elsevier, vol. 6(2), pages 97-107.
  4. Jérôme Héricourt & Clément Nedoncelle, 2015. "Relative Real Exchange-Rate Volatility, Multi-Destination Firms and Trade: Micro Evidence and Aggregate Implications," Working Papers 2015-03, CEPII research center.
  5. I, Sahadudheen I, 2013. "Volatility spillovers of rupee-dollar and rupee-euro exchange rates on Indian stock prices: evidence from GARCH model," MPRA Paper 65746, University Library of Munich, Germany, revised 2013.
  6. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
  7. Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Miralles Quirós, José Luis., 2007. "Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 199-214, Abril.
  8. J. Emeterio Navarro Barrientos & Frank E. Walter & Frank Schweitzer, 2008. "Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments," Papers 0801.4305, arXiv.org, revised Sep 2008.
  9. Crina Raluca Bucur, 2013. "Globalization and Economic Crisis – Consequences in the Banking Portfolio Management," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(4), pages 198-204, December.
  10. 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.
  11. da Silva Rosa, Raymond & Durand, Robert B., 2008. "The role of salience in portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 78-94, January.
  12. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
  13. W. Briec & K. Kerstens & O. Jokung, 2007. "Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach," Post-Print hal-00211572, HAL.
  14. 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.
  15. Hoewer, Daniel & Schmidt, Tobias & Sofka, Wolfgang, 2011. "An information economics perspective on main bank relationships and firm R&D," Discussion Paper Series 1: Economic Studies 2011,19, Deutsche Bundesbank, Research Centre.
  16. Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2014. "Risk minimization and portfolio diversification," Papers 1411.6657, arXiv.org, revised Dec 2014.
  17. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2014-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  18. Kristjan Liivamägi & Tarvo Vaarmets & Tõnn Talpsepp, 2014. "Masters of the Stock Market," TUT Economic Research Series 16, Department of Finance and Economics, Tallinn University of Technology.
  19. Ghosh, Sajal, 2011. "Examining crude oil price - Exchange rate nexus for India during the period of extreme oil price volatility," Applied Energy, Elsevier, vol. 88(5), pages 1886-1889, May.
  20. Chaudhry, Dr. Naveed Iqbal & Mehmood, Mian Saqib & Mehmood, Asif, 2014. "Determinants of corporate hedging policies and derivatives usage in risk management practices of non-financial firms," MPRA Paper 57562, University Library of Munich, Germany, revised 26 Jul 2014.
  21. Linton, Oliver & Iglesias, Emma M., 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
  22. Bert D'Espallier & Marek Hudon & Ariane Szafarz, 2016. "Aid Volatility and Social Performance in Microfinance," Working Papers CEB 16-015, ULB -- Universite Libre de Bruxelles.
  23. 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.
  24. repec:ecu:wpaper:2010-05 is not listed on IDEAS
  25. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
  26. 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.
  27. Navarro-Barrientos, Jesús Emeterio & Cantero-Álvarez, Rubén & Matias Rodrigues, João F. & Schweitzer, Frank, 2008. "Investments in random environments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2035-2046.
  28. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(2), pages 6, June.
  29. Ballestero, E. & Gunther, M. & Pla-Santamaria, D. & Stummer, C., 2007. "Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1476-1487, September.
  30. Ehret, Michael, 2014. "Financial socialism: The role of financial economics in economic disorganization," Journal of Business Research, Elsevier, vol. 67(1), pages 2686-2692.
  31. Kevin E. Cahill & Mauricio Soto, 2004. "Basic Investment Theory Explained," Just the Facts jtf_9, Center for Retirement Research.
  32. Bill Woodland & Linda Woodland, 1999. "Expected utility, skewness, and the baseball betting market," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 337-345.
  33. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
  34. Taras Bodnar & Wolfgang Schmid, 2008. "A test for the weights of the global minimum variance portfolio in an elliptical model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 127-143, March.
  35. Scott Forbes, 2012. "Parental preference for investment risk incites family strife," Journal of Bioeconomics, Springer, vol. 14(2), pages 115-128, July.
  36. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
  37. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3382-3398.
  38. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-151/III, Tinbergen Institute.
  39. Estrada, Javier, 2003. "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers D/493, IESE Business School.
  40. Narayan, Seema & Narayan, Paresh Kumar, 2012. "Do US macroeconomic conditions affect Asian stock markets?," Journal of Asian Economics, Elsevier, vol. 23(6), pages 669-679.
  41. Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Econometric Institute Research Papers EI2015-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
  43. Kristoffer Eriksen & Ola Kvaløy, 2010. "Do financial advisors exhibit myopic loss aversion?," Financial Markets and Portfolio Management, Springer, vol. 24(2), pages 159-170, June.
  44. Penikas, Henry, 2010. "Copula-Models in Foreign Exchange Risk-Management of a Bank," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 17(1), pages 62-87.
  45. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
  46. Block, Jörn H. & Henkel, Joachim & Schweisfurth, Tim G. & Stiegler, Annika, 2016. "Commercializing user innovations by vertical diversification: The user–manufacturer innovator," Research Policy, Elsevier, vol. 45(1), pages 244-259.
  47. Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu, 2014. "Risk Measures and Portfolio Optimization," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(3), pages 113, September.
  48. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
  49. Leeson Robert, 2011. "The MONIAC Updated for the Era of Permanent Financial Crises," Economia politica, Società editrice il Mulino, issue 1, pages 103-130.
  50. Broll, Udo & Egozcue, Martín & Wong, Wing-Keung & Zitikis, Ričardas, 2010. "Prospect theory and hedging risks," Dresden Discussion Paper Series in Economics 05/10, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  51. Rohlfs, Wilko & Madlener, Reinhard, 2013. "Optimal Power Generation Investment: Impact of Technology Choices and Existing Portfolios for Deploying Low-Carbon Coal Technologies," FCN Working Papers 12/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  52. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
  53. 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.
  54. Jérôme Héricourt & Clément Nedoncelle, 2016. "How Multi-Destination Firms Shape the Effect of Exchange Rate Volatility on Trade: Micro Evidence and Aggregate Implications," Working Papers 2016-05, CEPII research center.
  55. Singla, Chitra & George, Rejie & Veliyath, Rajaram, . "Ownership Structure and Internationalization of Indian Firms," IIMA Working Papers WP2016-03-34, Indian Institute of Management Ahmedabad, Research and Publication Department.
  56. repec:hal:journl:halshs-00336475 is not listed on IDEAS
  57. Hal Varian, 1993. "A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe," Journal of Economic Perspectives, American Economic Association, vol. 7(1), pages 159-169, Winter.
  58. Ballestero, Enrique & Pla-Santamaria, David, 2004. "Selecting portfolios for mutual funds," Omega, Elsevier, vol. 32(5), pages 385-394, October.
  59. Graves, Samuel B. & Ringuest, Jeffrey L., 2009. "Probabilistic dominance criteria for comparing uncertain alternatives: A tutorial," Omega, Elsevier, vol. 37(2), pages 346-357, April.
  60. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.
  61. 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.
  62. 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.
  63. Narayan, Paresh Kumar & Narayan, Seema, 2010. "Modelling the impact of oil prices on Vietnam's stock prices," Applied Energy, Elsevier, vol. 87(1), pages 356-361, January.
  64. 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.
  65. Belaid Aouni, 2013. "Comments on: Multicriteria decision systems for financial problems," TOP- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 262-264, July.
  66. Fabio Caldieraro & Anne T. Coughlan, 2009. "Optimal Sales Force Diversification and Group Incentive Payments," Marketing Science, INFORMS, vol. 28(6), pages 1009-1026, 11-12.
  67. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
  68. Zabarankin, Michael & Pavlikov, Konstantin & Uryasev, Stan, 2014. "Capital Asset Pricing Model (CAPM) with drawdown measure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 508-517.
  69. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
  70. Eduardo Ariel Corso, 2013. "Cross Fertilizations and Controversies in the Origins and Evolution of Portfolio Selection Models," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(68), pages 43-74, June.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.