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Citations for "Foundations of Portfolio Theory"

by Markowitz, Harry M.

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  1. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-134/III, Tinbergen Institute.
  2. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
  8. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
  9. 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.
  10. Estrada, Javier, 2003. "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers D/493, IESE Business School.
  11. Emeterio Navarro & Ruben Cantero & Joao Rodrigues & Frank Schweitzer, 2007. "Investments in Random Environments," Papers 0709.3630, arXiv.org, revised Sep 2008.
  12. 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.
  13. 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.
  14. Scott Forbes, 2012. "Parental preference for investment risk incites family strife," Journal of Bioeconomics, Springer, vol. 14(2), pages 115-128, July.
  15. Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
  16. 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.
  17. repec:hal:journl:halshs-00336475 is not listed on IDEAS
  18. Leeson Robert, 2011. "The MONIAC Updated for the Era of Permanent Financial Crises," Economia politica, Società editrice il Mulino, issue 1, pages 103-130.
  19. 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.
  20. 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.
  21. 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.
  22. 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 113-129, September.
  23. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
  24. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2005. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Working Papers 2005-ECO-05, IESEG School of Management.
  25. 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.
  26. 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.
  27. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
  28. Bill Woodland & Linda Woodland, 1999. "Expected utility, skewness, and the baseball betting market," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 337-345.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.
  34. 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.
  35. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
  36. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-134/III, Tinbergen Institute.
  37. Tarrazo, Manuel, 1997. "An application of fuzzy set theory to the individual investor problem," Financial Services Review, Elsevier, vol. 6(2), pages 97-107.
  38. 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.
  39. 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, vol. 21(2), pages 262-264, July.
  40. Ehret, Michael, 2014. "Financial socialism: The role of financial economics in economic disorganization," Journal of Business Research, Elsevier, vol. 67(1), pages 2686-2692.
  41. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. Taras Bodnar & Wolfgang Schmid, 2008. "A test for the weights of the global minimum variance portfolio in an elliptical model," Metrika, Springer, vol. 67(2), pages 127-143, March.
  50. Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2014. "Risk minimization and portfolio diversification," Papers 1411.6657, arXiv.org, revised Dec 2014.
  51. 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.
  52. Kevin E. Cahill & Mauricio Soto, 2004. "Basic Investment Theory Explained," Just the Facts jtf_9, Center for Retirement Research.
  53. 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.
  54. 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).
  55. 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.
  56. 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.
  57. repec:ecu:wpaper:2010-05 is not listed on IDEAS
  58. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía.
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