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  • Search: subject:"Markowitz' model"
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Year of publication
Subject
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Markowitz model 27 Portfolio selection 20 Portfolio-Management 20 Theorie 14 Theory 14 Mathematical programming 6 Mathematische Optimierung 6 Risk 6 Markowitz Model 5 Risiko 5 Capital income 4 Kapitaleinkommen 4 portfolio 4 Aktienindex 3 Risikomaß 3 Risk measure 3 Stochastic process 3 Stochastischer Prozess 3 Stock index 3 portfolio optimization 3 Attainment in vertices 2 CAPM 2 Duality 2 Foreign portfolio investment 2 India 2 Indien 2 Infimal set 2 Investment Fund 2 Investmentfonds 2 Jump-diffusion dynamics 2 L1 risk function 2 Monte Carlo 2 Multiobjective optimization 2 Nachhaltige Kapitalanlage 2 Portfolio optimization 2 Portfolio-Investition 2 Stochastic control problem 2 Sustainable investment 2 Thin stocks 2 Virtual currency 2
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Online availability
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Undetermined 20 Free 11
Type of publication
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Article 35 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 18 Aufsatz in Zeitschrift 18 Aufsatz im Buch 3 Book section 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 22 Undetermined 15 Romanian 1 Spanish 1
Author
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Sakowski, Paweł 3 ANGHELACHE, Gabriela Victoria 2 Anghelache, Gabriela Victoria 2 Castellano, Rosella 2 Cerqueti, Roy 2 Heyde, Frank 2 Löhne, Andreas 2 Peel, D.A. 2 Tammer, Christiane 2 ANGHEL, Madalina - Gabriela 1 ANGHEL, Mădălina Gabriela 1 ANGHELACHE, Constantin 1 Al Bakri, Anas 1 Alvarez Carrillo, Pavel A. 1 Anghel, Mǎdǎlina Gabriela 1 Anghelache, Constantin 1 Ankhbayar, Ch. 1 Armstrong, John 1 Arriaga Navarrete, Rosalinda 1 Badea, Leonardo 1 Bernal, María 1 Bhattacharjee, Dibyojyoti 1 Bogdan, Małgorzata 1 Brigo, Damiano 1 Castro Olivares, Jorge Eduardo 1 Chaudhuri, Tamal D. 1 Chetna 1 Choi, Paul Moon Sub 1 Du, Lanqing 1 Egenter, E. 1 El Bouhadi, A. 1 El Maguiri, M. 1 Enkhbat, R. 1 Feinstein, Charles D. 1 Georgalos, Konstantinos 1 Ghosh, Indranil 1 Guigues, Vincent 1 Hubacek, Klaus 1 Jabłecki, Juliusz 1 Ken Seng Tan 1
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Institution
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Swiss Finance Institute 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
Published in...
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Theoretical and Applied Economics 3 Economics Letters 2 Journal of banking & finance 2 Management Science 2 Theoretical and applied economics : GAER review 2 Análisis económico 1 Computational Optimization and Applications 1 Computational Statistics 1 Contemporary studies of risks in emerging technology, part A 1 Corporate social responsibility and environmental management 1 Economics Bulletin 1 Economics and business review 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 FAME Research Paper Series 1 Fintech, pandemic, and the financial system : challenges and opportunities 1 International journal of business excellence : IJBEX 1 International journal of economic policy in emerging economies : IJEPEE 1 International journal of economics and finance 1 International journal of innovation & sustainable development : IJISD 1 Inventi impact: emerging economies 1 Journal of Islamic accounting and business research 1 Journal of economic behavior & organization : JEBO 1 MPRA Paper 1 Mathematical Methods of Operations Research 1 Metamorphosis : a journal of management research 1 Olsztyn economic journal 1 Physica A: Statistical Mechanics and its Applications 1 Romanian Statistical Review Supplement 1 South Asian journal of management : SAJM 1 Strategic system assurance and business analytics 1 Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1 Working papers 1
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Source
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ECONIS (ZBW) 22 RePEc 17
Showing 31 - 39 of 39
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Fundamental portfolio construction based on semi-variance
Rutkowska-Ziarko, Anna - In: Olsztyn economic journal 8 (2013) 2, pp. 151-162
Persistent link: https://www.econbiz.de/10010506163
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On the potential for observational equivalence in experiments on risky choice when a power value function is assumed
Peel, D.A.; Zhang, Jie - In: Economics Letters 116 (2012) 1, pp. 8-10
generated from a Markowitz model. …
Persistent link: https://www.econbiz.de/10010572248
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Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
Guigues, Vincent - In: Computational Optimization and Applications 48 (2011) 3, pp. 553-579
Persistent link: https://www.econbiz.de/10008925523
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A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
LEIPPOLD, Markus; TROJANI, Fabio; VANINI, Paolo - Swiss Finance Institute - 2002
static Markowitz model to the multiperiod context. Using the geometric approach to dynamic mean variance optimization we …
Persistent link: https://www.econbiz.de/10005771850
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Set-valued duality theory for multiple objective linear programs and application to mathematical finance
Heyde, Frank; Löhne, Andreas; Tammer, Christiane - In: Mathematical Methods of Operations Research 69 (2009) 1, pp. 159-179
We develop a duality theory for weakly minimal points of multiple objective linear programs which has several advantages in contrast to other theories. For instance, the dual variables are vectors rather than matrices and the dual feasible set is a polyhedron. We use a set-valued dual objective...
Persistent link: https://www.econbiz.de/10010999730
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Set-valued duality theory for multiple objective linear programs and application to mathematical finance
Heyde, Frank; Löhne, Andreas; Tammer, Christiane - In: Computational Statistics 69 (2009) 1, pp. 159-179
We develop a duality theory for weakly minimal points of multiple objective linear programs which has several advantages in contrast to other theories. For instance, the dual variables are vectors rather than matrices and the dual feasible set is a polyhedron. We use a set-valued dual objective...
Persistent link: https://www.econbiz.de/10010759327
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Finite-size effects in Monte Carlo simulations of two stock market models
Egenter, E.; Lux, T.; Stauffer, D. - In: Physica A: Statistical Mechanics and its Applications 268 (1999) 1, pp. 250-256
The microscopic market models of Kim–Markowitz and of Lux–Marchesi are simulated for varying number of investors. If this number goes to infinity, in some quantities nearly periodic oscillations occur.
Persistent link: https://www.econbiz.de/10010874509
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Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
Feinstein, Charles D.; Thapa, Mukund N. - In: Management Science 39 (1993) 12, pp. 1552-1553
The purpose of this note is to present a reformulation of the model presented by Konno and Yamazaki (1991). In their paper, it was claimed that (under the assumption that there is no upper limit on the investment in an asset) the number of nonzero assets in the optimal portfolio is at most 2T +...
Persistent link: https://www.econbiz.de/10009214560
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Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
Konno, Hiroshi; Yamazaki, Hiroaki - In: Management Science 37 (1991) 5, pp. 519-531
absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while … model generates a portfolio quite similar to that of the Markowitz's model within a fraction of time required to solve the …
Persistent link: https://www.econbiz.de/10009191829
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