Partial Gini Coefficient for Uncertain Random Variables with Application to Portfolio Selection [PDF]
, 2023 Lifeng Wang +3 more
openalex +1 more source
Annals of Operations ResearchAbstract In 1952, Harry Markowitz formulated portfolio selection as a trade-off between expected, or mean, return and variance. This launched a massive research effort devoted to finding suitable inputs to mean-variance optimization. The estimation problem is high dimensional and a factor model is at the core of many attempts.
Alex Shkolnik +4 more
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Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
Entropy, 2011 In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well‑diversified ...
Yeliz Mert Kantar, Ilhan Usta
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Stock Selection as a Problem in Phylogenetics—Evidence from the ASX
International Journal of Financial Studies, 2016 We report the results of fifteen sets of portfolio selection simulations using stocks in the ASX200 index for the period May 2000 to December 2013. We investigated five portfolio selection methods, random selection, selection within industrial groups ...
Cheng Juan Zhan +2 more
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Fuzzy Portfolio Selection Using Stochastic Correlation. [PDF]
Comput Econ, 2023 Jo G, Kim H, Kim H, Ri G.
europepmc +1 more source
Using the deterministic approach model for project portfolio selection problem (PPSP) solutions. [PDF]
Heliyon, 2023 Mogbojuri AO, Olanrewaju OA.
europepmc +1 more source
Sparse and risk diversification portfolio selection. [PDF]
Optim Lett, 2023 Li Q, Zhang W.
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Early portfolio pruning: a scalable approach to hybrid portfolio selection. [PDF]
Knowl Inf Syst, 2023 Gioia DG, Fior J, Cagliero L.
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Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange
Croatian Operational Research Review, 2015 Most strategies for selection portfolios focus on utilizing solely market data and implicitly assume that stock markets communicate all relevant information to all market stakeholders, and that these markets cannot be influenced by investor activities ...
Margareta Gardijan, Tihana Škrinjarić
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Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion. [PDF]
Comput Econ, 2022 Su K, Yao Y, Zheng C, Xie W.
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