Mean–Variance versus Full-Scale Optimisation: In and Out of Sample

By M. E. Ellis. 2007

73 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e67b5dcd42bcbefb09676fab347ba905e508de08

Citations in the corpus

• Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “(2005), and Adler and Kritzman (2007). This is a non-parametric technique that is based on a numerical grid search procedure that uses as many asset mixes as necessary to identify the weights that yield the highest expected utility.”
• Supply Chains Involving a Mean‐Variance‐Skewness‐Kurtosis Newsvendor: Analysis and Coordination (2020, unknown): “Observe that in finance, there are a lot of studies focusing on investment portfolio selection by exploring higher moments (see, e.g., Adler and Kritzman 2007, Johnstone and Lindley 2013, Maclean et al. 2005).”