Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function

By Walter Briec, Kristiaan Kerstens, J. Lesourd. 2002

101 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8b0f90204486ca6921543c3b5c906868f72a2679

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Kristiaan Kerstens
2. Walter Briec

In Finance

1. Walter Briec
2. Kristiaan Kerstens

In Management Science and Operations Research

1. Walter Briec
2. Kristiaan Kerstens

Citations in the corpus

• Portfolio selection in multidimensional general and partial moment space (2010, background): “9 This set of admissible portfolios can be easily adapted for additional constraints (e.g., transaction costs) that can be written as linear functions of asset weights: see Briec et al. (2004).”