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Volumn 25, Issue 2, 1999, Pages 10-22

Mean-variance and scenario-based approaches to portfolio selection

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EID: 0033249534     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1999.319732     Document Type: Article
Times cited : (23)

References (17)
  • 3
    • 2042499464 scopus 로고
    • The effect of errors in means, variances and covariances on optimal portfolio choice
    • Winter
    • Chopra, V.K., and W.T. Ziemba. "The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choice." Journal of Portfolio Management, Winter 1993, pp. 6-11.
    • (1993) Journal of Portfolio Management , pp. 6-11
    • Chopra, V.K.1    Ziemba, W.T.2
  • 5
    • 21344485052 scopus 로고
    • Multi-stage stochastic linear programs for portfolio optimization
    • Dantzig, G.B., and G. Infanger. "Multi-Stage Stochastic Linear Programs for Portfolio Optimization." Annals of Operations Research, 1993, pp. 59-76.
    • (1993) Annals of Operations Research , pp. 59-76
    • Dantzig, G.B.1    Infanger, G.2
  • 6
    • 21344497533 scopus 로고
    • Alpha is volatility times IC times score
    • Summer
    • Grinold, R.C. "Alpha is Volatility Times IC Times Score." Journal of Portfolio Management, Summer 1994, pp. 9-16.
    • (1994) Journal of Portfolio Management , pp. 9-16
    • Grinold, R.C.1
  • 7
    • 0030299784 scopus 로고    scopus 로고
    • Domestic grapes from imported wine
    • December
    • -. "Domestic Grapes from Imported Wine." Journal of Portfolio Management, December 1996, pp. 29-40.
    • (1996) Journal of Portfolio Management , pp. 29-40
  • 9
    • 0000592568 scopus 로고
    • Optimal investment and consumption strategies under risk for a class of utility functions
    • Hakansson, N.H. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions." Econometrica, Vol. 38, No. 5 (1970), pp. 587-607.
    • (1970) Econometrica , vol.38 , Issue.5 , pp. 587-607
    • Hakansson, N.H.1
  • 11
    • 0001206751 scopus 로고
    • Who should buy portfolio insurance?
    • May
    • Leland, H.E. "Who Should Buy Portfolio Insurance?" Journal of Finance, Vol. 35, No. 2 (May 1980), pp. 581-594.
    • (1980) Journal of Finance , vol.35 , Issue.2 , pp. 581-594
    • Leland, H.E.1
  • 14
    • 0009397999 scopus 로고
    • Business risk and investment risk
    • November-December
    • Rudd, A. "Business Risk and Investment Risk." Investment Management Review, November-December 1987, pp. 19-27.
    • (1987) Investment Management Review , pp. 19-27
    • Rudd, A.1
  • 16
    • 0000314743 scopus 로고
    • Lifetime portfolio selection by dynamic stochastic programming
    • August
    • Samuelson, P.A. "Lifetime Portfolio Selection by Dynamic Stochastic Programming." Review of Economic Studies, Vol. 51, No. 3 (August 1969), pp. 239-246.
    • (1969) Review of Economic Studies , vol.51 , Issue.3 , pp. 239-246
    • Samuelson, P.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.