Get started
Keyword

mean-variance optimization

Description: A portfolio optimization method that selects asset weights by balancing expected return against variance or another measure of portfolio risk.
OpenAlex ID: keywords/mean-variance-optimization
Global Portfolio Optimization
1992 · Fischer Black, Robert Litterman · Financial Analysts Journal · 1,844
The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
1989 · Richard O. Michaud · Financial Analysts Journal · 1,330
Honey, I Shrunk the Sample Covariance Matrix
2004 · Olivier Ledoit, Michael Wolf · The Journal of Portfolio Management · 1,275
PDF
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
2000 · X. Y. Zhou, D. Li · Applied Mathematics & Optimization · 1,009
Heuristics for cardinality constrained portfolio optimisation
2000 · T.-J. Chang, N. Meade, et al. · Computers & Operations Research · 926
Portfolio Selection in Stochastic Environments
2006 · Jun Liu · Review of Financial Studies · 659
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
2003 · Xun Yu Zhou, G. Yin · SIAM Journal on Control and Optimization · 507
Mean–variance Portfolio Optimization With State‐dependent Risk Aversion
2012 · Tomas Björk, Agatha Murgoci, et al. · Mathematical Finance · 505
PDF
Comparing asset pricing models: an investment perspective
2000 · Ľuboš Pástor, Robert F. Stambaugh · Journal of Financial Economics · 490
Large-Scale Portfolio Optimization
1984 · Andre F. Perold · Management Science · 416
Robust Portfolio Optimization and Management
2007 · Frank J. Fabozzi · 402
Robust Asset Allocation
2004 · R.H. Tütüncü, M. Koenig · Annals of Operations Research · 388
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
2001 · Marc C. Steinbach · SIAM Review · 382
Continuous‐time Mean‐variance Portfolio Selection With Bankruptcy Prohibition
2005 · Tomasz R. Bielecki, Hanqing Jin, et al. · Mathematical Finance · 339
The Legacy of Modern Portfolio Theory
2002 · Frank J. Fabozzi, Francis Gupta, et al. · The Journal of Investing · 335
A Maximum Principle for SDEs of Mean-Field Type
2010 · Daniel Andersson, Boualem Djehiche · Applied Mathematics & Optimization · 330
Asset Allocation in a Downside Risk Framework
2000 · Tien Foo Sing, Seow Eng Ong · Journal of Real Estate Portfolio Management · 325
Putting Markowitz theory to work
1981 · J. D. Jobson, Robert M Korkie · The Journal of Portfolio Management · 322
In search of the exchange risk premium: A six-currency test assuming mean-variance optimization
1982 · Jeffrey A. Frankel · Journal of International Money and Finance · 318
Fuel mix diversification incentives in liberalized electricity markets: A Mean–Variance Portfolio theory approach
2007 · Fabien A. Roques, David M. Newbery, et al. · Energy Economics · 307
Mean–variance portfolio optimization using machine learning-based stock price prediction
2020 · Wei Chen, Haoyu Zhang, et al. · Applied Soft Computing · 302
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
2002 · Xun Li, Xun Yu Zhou, et al. · SIAM Journal on Control and Optimization · 293
Performance Incentive Fees: An Agency Theoretic Approach
1987 · Laura T. Starks · Journal of Financial and Quantitative Analysis · 287
Estimation Risk and Optimal Portfolio Choice.
1980 · John Matatko, V. S. Bawa, et al. · Journal of the Royal Statistical Society Series A (General) · 286
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification
2012 · Chris Kirby, Barbara Ostdiek · Journal of Financial and Quantitative Analysis · 285
Works count: 4,822
Citation count: 52,920
Year
Topic
Type