Portfolio Selection Efficient Diversification Of Investments

By J. Schmitt. 2016

2,769 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fdee709aef718de16df6a876080aea9abeff79eb

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Citations in the corpus

Good and bad uncertainty: Macroeconomic and financial market implications ☆ (2015, background): “This is distinct from other aspects of uncertainty, such as parameter uncertainty, learning, robust-control, and ambiguity (see discussions in Pastor and Veronesi (2009), Hansen and Sargent (2010), Epstein and Schneider (2010)).”
Dual-channel supply chain pricing decisions with a risk-averse retailer (2014, methodology): “Markowitz (1959) first proposed the mean-variance analysis method to estimate risk-averse level.”
Cleaning large correlation matrices: tools from random matrix theory (2016, background): “1), the concept of correlations between different assets is the cornerstone of Markowitz’ optimal portfolio theory, and more generally for risk management purposes [152].”
Emission trading and carbon market performance in Shenzhen, China (2017, background): “One of the key properties is a broadly symmetric relationship between expected risk and asset return [26, 64].”
Does investor sentiment really matter (2016, background): “Classical theory argues that rational mean-variance optimizers dominate in the long-run (Markowitz, 1959).”
Cryptocurrency portfolio management with deep reinforcement learning (2016, background): “Portfolio management is the decision making process of allocating an amount of fund into different financial investment products, aiming to maximize the return while restraining the risk [1], [2].”
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty (2018, background): “The basic concepts of modern portfolio theory were developed by Markowitz (1952) who introduced a mean–variance portfolio optimization procedure in which investors incorporate their preferences towards the risk and the expected return to seek the best allocation of wealth.”
The Impact of Role Identities on Entrepreneurs’ Evaluation and Selection of Opportunities (2017, background): “The quotations above exemplify that founders in the investor role used lines of reasoning suggesting common investment rules, such as allocating money equally to unrelated investments to reduce or eliminate unsystematic, or investment-specific, risk (Gigerenzer, 2008; Markowitz, 1968).”