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The Review of Financial Studies, ISSN 0893-9454, 5/2009, Volume 22, Issue 5, pp. 1915 - 1953
Journal Article
The Journal of Finance, ISSN 0022-1082, 8/2003, Volume 58, Issue 4, pp. 1651 - 1683
Green and Hollifield (1992) argue that the presence of a dominant factor would result in extreme negative weights in mean-variance efficient portfolios even in... 
Statistical variance | Error rates | Statistical discrepancies | Sampling errors | Covariance | Standard deviation | Financial portfolios | Covariance matrices | Estimators | Estimators for the mean | BUSINESS, FINANCE | PERFORMANCE | RETURNS | ECONOMICS | MODEL | SELECTION | VARIANCE-EFFICIENT PORTFOLIOS | Portfolio management | Short selling | Methods
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 04/2014, Volume 234, Issue 2, pp. 356 - 371
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 12/2011, Volume 24, Issue 12, pp. 4123 - 4166
We analyze complex bond portfolios within the framework of a dynamic general equilibrium asset-pricing model. Equilibrium bond portfolios are nonsensical and... 
Dividends | Bond markets | Investors | Stock dividends | Consols | Financial instruments | Market equilibrium | Financial portfolios | Financial bonds | Bond portfolios | OPTIMAL MATURITY | BUSINESS, FINANCE | MUTUAL FUND SEPARATION | TRADING VOLUME | PREFERENCES | ECONOMICS | LONG-TERM BONDS | GOVERNMENT DEBT | RISK-AVERSION | SELECTION | ASSET ALLOCATION PUZZLE | VARIANCE-EFFICIENT PORTFOLIOS
Journal Article
Journal of International Financial Markets, Institutions & Money, ISSN 1042-4431, 11/2018, Volume 57, pp. 160 - 184
•We investigate effects of leverage on European portfolios behavior using MVEF & CML.•Portfolio returns and volatility are analysed based on Islamic stock... 
European stock market | Return | Portfolio leverage | Volatility | Mean variance efficient frontier | Islamic stock screening | PERFORMANCE | BUSINESS, FINANCE | DOWNSIDE RISK | ECONOMICS | VARIANCE | SELECTION | SHARIAH-COMPLIANT | Islamic banking | Investment analysis | Leverage (Finance) | Usage | Business schools | Stock funds | Stocks | Analysis | Portfolio management | Stock markets
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 03/2016, Volume 119, Issue 3, pp. 611 - 625
We study the out-of-sample performance of portfolio trading strategies used when an investor faces capital gain taxation and proportional transaction costs.... 
Portfolio choice | Capital gain taxation | Heuristic trading rules | Limited use of capital losses | COVARIANCES | TRANSACTION COSTS | RETURNS | CROSS-SECTION | ALLOCATION | VARIANCE-EFFICIENT PORTFOLIOS | BUSINESS, FINANCE | PREDICTABILITY | INVESTMENT | ECONOMICS | Business schools | Financial markets | Capital gains tax | Securities law | Analysis
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 06/2014, Volume 43, Issue 1, pp. 14 - 28
•We propose a novel approach to portfolio revision based on expected out-of-sample performance.•We utilize a modified jackknife procedure to determine optimal... 
Portfolio optimization | Jackknife estimator | Optimal portfolio revision | Transaction costs | Out-of-sample performance evaluation | PARAMETER UNCERTAINTY | PERFORMANCE | RETURNS | VARIANCE-EFFICIENT PORTFOLIOS | STRATEGIES | BUSINESS, FINANCE | COVARIANCE-MATRIX | NAIVE DIVERSIFICATION | BENCHMARK | OPTIMIZATION | ECONOMICS | SELECTION
Journal Article
Sustainability (Switzerland), ISSN 2071-1050, 06/2019, Volume 11, Issue 11, p. 3216
This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the... 
Portfolio optimization | Sharpe ratio | Sparse model | Dantzig selector | REGRESSION | GREEN & SUSTAINABLE SCIENCE & TECHNOLOGY | DIVERSIFICATION | PERFORMANCE | INDEX TRACKING | VARIANCE-EFFICIENT PORTFOLIOS | PRODUCTION SYSTEM | ENVIRONMENTAL SCIENCES | COVARIANCE-MATRIX | MODELS | ADAPTIVE LASSO | ENVIRONMENTAL STUDIES | STOCHASTIC-DOMINANCE | Optimization
Journal Article
International Journal of Finance & Economics, ISSN 1076-9307, 01/2019, Volume 24, Issue 1, pp. 313 - 327
We investigate a multiperiod, stochastic portfolio optimization model for diversified funds choices associated with traditional 401K or 403B plans. This... 
portfolio optimization | time series | diversification | financial engineering | stochastic programming | BUSINESS, FINANCE | MODELS | RISK | CONSTRAINTS | VARIANCE-EFFICIENT PORTFOLIOS
Journal Article
Omega, ISSN 0305-0483, 2009, Volume 37, Issue 2, pp. 439 - 449
Journal Article
Finance Research Letters, ISSN 1544-6123, 08/2016, Volume 18, pp. 363 - 369
•Restricting short sales removes opportunities to gain from overvalued assets.•We propose a portfolio selection model with conservative short-selling.•The... 
Conservative short positions | No short-selling constraint | Mean-variance portfolio selection | ROBUST PORTFOLIOS | BUSINESS, FINANCE | CONSTRAINTS | VARIANCE-EFFICIENT PORTFOLIOS | Conservatism | Analysis
Journal Article
Optimization: Optimization Methods in Mathematical Finance, ISSN 0233-1934, 11/2013, Volume 62, Issue 11, pp. 1419 - 1432
We give a closed-form solution to the single-period portfolio selection problem with a Value-at-Risk (VaR) constraint in the presence of a set of risky assets... 
dynamic portfolio selection | probabilistic chance constraint | value-at-risk | mean-variance efficient portfolios | delegated portfolio management | MATHEMATICS, APPLIED | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | INSURANCE | SELECTION | Divestitures
Journal Article
Entropy, ISSN 1099-4300, 11/2013, Volume 15, Issue 11, pp. 4607 - 4621
In the literature, Markowitz's mean-variance model and its variants have been shown to yield portfolios that put excessive weights on only a few assets. Many... 
Portfolio optimization | Norm | Entropy | Diversity constraint | entropy | PHYSICS, MULTIDISCIPLINARY | PERFORMANCE | portfolio optimization | SENSITIVITY | diversity constraint | SELECTION | norm | VARIANCE-EFFICIENT PORTFOLIOS
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 04/2015, Volume 31, Issue 2, pp. 568 - 574
We analyze the effectiveness of using fundamental variables of earnings forecasts for constructing mean–variance efficient portfolios. The performances of the... 
Stock selection | Mean–variance efficient portfolio | Consensus temporary earnings forecasts | Mean-variance efficient portfolio | RETURN | MANAGEMENT | EQUILIBRIUM | INVESTMENT | MARKET VALUE | COMMON-STOCKS | ECONOMICS | CROSS-SECTION
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 12/1999, Volume 12, Issue 5, pp. 937 - 974
We evaluate the performance of models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. We compare the... 
Industrial market | Statistical variance | Statistical discrepancies | Forecasting standards | Covariance | Stock exchanges | Standard deviation | Yield | Financial portfolios | Forecasting models | STOCK RETURNS | BUSINESS, FINANCE | WILL | SELECTION | VOLATILITY | VARIANCE-EFFICIENT PORTFOLIOS
Journal Article
Econometric Reviews, ISSN 0747-4938, 05/2008, Volume 27, Issue 4-6, pp. 484 - 512
Journal Article
Financial Markets and Portfolio Management, ISSN 1934-4554, 2/2018, Volume 32, Issue 1, pp. 77 - 110
The Markowitz critical line method for mean–variance portfolio construction has remained highly influential today, since its introduction to the finance world... 
Business and Management | G11 | Positive definite matrix | Positive semi-definite matrix | Management | Mean–variance efficient portfolios | Business and Management, general | Markowitz critical line method | Finance, general | C61 | Algorithms
Journal Article