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Keyword

portfolio optimization

Description: A financial decision-making process for selecting asset allocations to balance expected returns against risk and other investment constraints.
Wikidata ID: wiki/Q7231728
OpenAlex ID: keywords/portfolio-optimization
Capital Asset Prices: a Theory of Market Equilibrium Under Conditions of Risk*
1964 · William F. Sharpe · The Journal of Finance · 19,425
Portfolio Selection*
1952 · Harry Markowitz · The Journal of Finance · 13,465
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]
1975 · John Lintner · Elsevier eBooks · 6,743
Optimization of conditional value-at-risk
2000 · R. Tyrrell Rockafellar, Stanislav Uryasev · The Journal of Risk · 6,686
Optimum consumption and portfolio rules in a continuous-time model
1971 · Robert C Merton · Journal of Economic Theory · 5,960
Portfolio Selection: Efficient Diversification of Investments
1959 · Alan Stuart, Harry M. Markowitz · OR · 5,535
Income tax evasion: a theoretical analysis
1972 · Michael G. Allingham, Agnar Sandmo · Journal of Public Economics · 4,958
Equilibrium in a Capital Asset Market
1966 · Jan Mossin · Econometrica · 4,896
The Price of Robustness
2004 · Dimitris Bertsimas, Melvyn Sim · Operations Research · 4,610
Portfolio Selection
1952 · Harry Markowitz · The Journal of Finance · 4,608
Essays in the Theory of Risk-Bearing.
1972 · Nils H. Hakansson, Kenneth J. Arrow · The Journal of Finance · 3,991
Liquidity Preference as Behavior Towards Risk
1958 · J. Tobin · The Review of Economic Studies · 3,910
Portfolio Selection: Efficient Diversification of Investments.
1962 · Hendrik S. Houthakker, Harry M. Markowitz · Journal of the American Statistical Association · 3,621
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
2007 · Victor DeMiguel, Lorenzo Garlappi, et al. · Review of Financial Studies · 3,185
Capital Market Equilibrium with Restricted Borrowing
1972 · Fischer Black · The Journal of Business · 3,094
Modern Portfolio Theory and Investment Analysis.
1982 · Keith V. Smith, E. J. Elton, et al. · The Journal of Finance · 3,012
A Simplified Model for Portfolio Analysis
1963 · William F. Sharpe · Management Science · 2,740
Controlled Markov Processes and Viscosity Solutions
2005 · Fleming, Wendell Helms 1928-2023, Soner, H. Mete · 2,699
Safety First and the Holding of Assets
1952 · A. D. Roy · Econometrica · 2,534
A Test of the Efficiency of a Given Portfolio
1989 · Michael R. Gibbons, Stephen A. Ross, et al. · Econometrica · 2,367
Online Computation and Competitive Analysis
1998 · Allan Borodin, Ran El‐Yaniv · 2,324
The Economics of Money, Banking and Financial Markets
1986 · Frederic S. Mishkin · 2,292
Responsible Investing: The ESG-Efficient Frontier
2019 · Lasse Heje Pedersen, Shaun Fitzgibbons, et al. · Journal of Financial Economics · 2,085
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Correlation and Dependence in Risk Management: Properties and Pitfalls
2002 · Paul Embrechts, Alexander J. McNeil, et al. · Risk Management · 1,990
Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
2010 · Erick Delage, Yinyu Ye · Operations Research · 1,904
Works count: 46,720
Citation count: 585,100
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