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Volumn 29, Issue 2, 2009, Pages 403-417

A decision model for portfolio selection

Author keywords

Bayesian analysis; Decision theory; Portfolio selection

Indexed keywords


EID: 70350318804     PISSN: 01017438     EISSN: 16785142     Source Type: Journal    
DOI: 10.1590/S0101-74382009000200008     Document Type: Article
Times cited : (8)

References (16)
  • 2
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    • Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges
    • Ballestero, E.; Gunther, M.; Pla-Santamaria, D. & Stummer C. (2007). Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges. European Journal of Operational Research, 181, 1476-1487.
    • (2007) European Journal of Operational Research , vol.181 , pp. 1476-1487
    • Ballestero, E.1    Gunther, M.2    Pla-Santamaria, D.3    Stummer, C.4
  • 4
    • 1642358232 scopus 로고    scopus 로고
    • Simulated annealing for complex portfolio selection problems
    • Crama, Y. & Schyns, M. (2003). Simulated annealing for complex portfolio selection problems. European Journal of Operational Research, 150, 546-571.
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    • Crama, Y.1    Schyns, M.2
  • 8
    • 70350270577 scopus 로고    scopus 로고
    • Genetic algorithms for portfolio selection problems with minimum transaction lots
    • In Press, Corrected Proof, Available online 11 January 2007
    • Lin, C.-C. & Liu, Y.-T. (2007). Genetic algorithms for portfolio selection problems with minimum transaction lots. European Journal of Operational Research, In Press, Corrected Proof, Available online 11 January 2007.
    • (2007) European Journal of Operational Research
    • Lin, C.-C.1    Liu, Y.-T.2
  • 10
    • 31144478224 scopus 로고
    • A Decision Theory Approach to Portfolio Selection
    • Mao, J.C.T. & Särndal, E. (1966). A Decision Theory Approach to Portfolio Selection. Management Science, 12(8), B323-B333.
    • (1966) Management Science , vol.12 , Issue.8
    • Mao, J.C.T.1    Särndal, E.2
  • 11
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7, 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.1
  • 12
    • 0001086614 scopus 로고
    • Foundations of portfolio theory
    • Markowitz, H.M., (1991). Foundations of portfolio theory. Journal of Finance, 46(2), 469-478.
    • (1991) Journal of Finance , vol.46 , Issue.2 , pp. 469-478
    • Markowitz, H.M.1
  • 13
    • 0038015848 scopus 로고    scopus 로고
    • Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets
    • Prakash, A.J.; Chang, C.-H. & Pactwa, T.E. (2003). Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets. Journal of Banking & Finance, 27, 1375-1390.
    • (2003) Journal of Banking & Finance , vol.27 , pp. 1375-1390
    • Prakash, A.J.1    Chang, C.-H.2    Pactwa, T.E.3
  • 14
    • 0041669376 scopus 로고    scopus 로고
    • Markowitz's "Portfolio Selection": A Fifty-Year Retrospective
    • Rubinstein, M. (2002). Markowitz's "Portfolio Selection": A Fifty-Year Retrospective. The Journal of Finance, 62(3), 1041-1045.
    • (2002) The Journal of Finance , vol.62 , Issue.3 , pp. 1041-1045
    • Rubinstein, M.1
  • 15
    • 31144469610 scopus 로고    scopus 로고
    • Bayesian portfolio selection with multi-variate random variance models
    • Soyer, R. & Tanyeri, K. (2006). Bayesian portfolio selection with multi-variate random variance models. European Journal of Operational Research, 171, 977-990.
    • (2006) European Journal of Operational Research , vol.171 , pp. 977-990
    • Soyer, R.1    Tanyeri, K.2
  • 16
    • 0032074641 scopus 로고    scopus 로고
    • A Minimax Portfolio Selection Rule with Linear Programming Solution
    • Young, M.R. (1998). A Minimax Portfolio Selection Rule with Linear Programming Solution. Management Science, 44(5), 673-683.
    • (1998) Management Science , vol.44 , Issue.5 , pp. 673-683
    • Young, M.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.