Portfolio Selection
By Gevorg Hunanyan. 2019
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Fotios Petropoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Konstantinos Nikolopoulos
- Evangelos Spiliotis
- Vassilios Assimakopoulos
- Spyros Makridakis
- Christoph Bergmeir
Citations in the corpus
- Wireless Network Intelligence at the Edge (2018, background): “The mean-variance approach is the simplest solution that additionally minimizes the variance of returns while maximizing the expected return [146].”
- Do investors exhibit behavioral biases in investment decision making? A systematic review (2018, background): “Markowitz (1952) approach helps an investor to achieve his optimal portfolio position and explains how the diversification reduces the risk.”
- Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, background): “However, the correlation diversification approach, which consists in optimizing the portfolio’s volatility (Markowitz, 1952), is inadequate for managing a universe of traditional and alternative risk premia, because the relationships between these risk premia are non-linear.”
- Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2019, background): “In the fundamental work of Markowitz (1952), the risk of a portfolio is measured by the variance of its return in a single-period model, and the mean-variance criterion is used to seek the best allocation of wealth among a variety of securities so as to achieve the optimal trade-off between the…”
- Forecasting: theory and practice (2020, background): “ARCH/GARCH models11 Volatility has been recognised as a primary measure of risks and uncertainties (Markowitz, 1952; Sharpe, 1964; Taylor et al., 2009; Gneiting, 2011a).”
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “Following Chiriac and Voev (2011), we consider global minimum variance portfolios (GMVP), motivated by the meanvariance optimization setting of Markowitz (1952).”
- The Effect of Cryptocurrency on Investment Portfolio Effectiveness (2017, methodology): “Researchers tried to use a portfolio selection model developed by Markowitz (1952).”