On convex multiobjective programs with application to portfolio optimization

PLW Jayasekara, N Adelgren… - Journal of Multi‐Criteria …, 2020 - Wiley Online Library
Focusing on (strictly) convex multiobjective programs (MOPs), we review some well‐
established scalarizations in multiobjective programming from the perspective of parametric …

Harry Markowitz: An appreciation

J Guerard - International Journal of Forecasting, 2023 - Elsevier
Abstract Harry Markowitz passed on June 22, 2023; some four years short of reaching 100
years old. Dr. Markowitz was not a traditional economist. That fact was well-established and …

[PDF][PDF] Sparse minimax portfolio and Sharpe ratio models

C Zu, X Yang, CKW Yu - Journal of Industrial and …, 2022 - researchdb.hsu.edu.hk
In this paper, we investigate sparse portfolio selection models with a regularized lp-norm
term (0< p≤ 1) and negatively bounded shorting constraints. We obtain some basic …

[BOOK][B] Traditional optimization is not optimal for leverage-averse investors

PD Jacobs, K Levy - 2014 - jlem.com
In Jacobs and Levy [2012, 2013a], we discussed the unique risks of leverage and
developed mean-variance-leverage portfolio optimization, which takes these unique risks …

On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives

Y Qi - Central European Journal of Operations Research, 2017 - Springer
As the research for portfolio selection evolves, traditional models and models with one
quadratic objective and multiple linear objectives are being solved. In this paper, I propose …

Leverage and risk relativity: how to beat an index

HP Bermin, M Holm - 2021 - ideas.repec.org
In this paper we show that risk associated with leverage is fundamentally relative to an
arbitrary choice of reference asset or portfolio. We characterize leverage risk as a drawdown …

Portfolio Leverage in Asset Allocation Problems

M Maggi, P Uberti - Advances in Optimization and Decision Science for …, 2019 - Springer
In the classical portfolio optimization framework, the leverage of a portfolio is not taken into
account and, by assumption, the risk of a portfolio is totally described by the volatility of its …

Decision-making under uncertainty: the political economy of shale gas

H Petersen - 2016 - openaccess.city.ac.uk
This thesis explores the factors influencing governmental policy preferences on the
uncertain issue of shale gas development. I argue that there is no convincing expected utility …

社会责任投资实证分析

林龙 - 福建商学院学报, 2017 - cqvip.com
与只考虑风险及回报的传统投资方式不同, 社会责任投资在投资对象的筛选中,
除考虑财务指标以外, 还特别注重社会, 环境, 人权等企业社会责任的标准. 传统的投资理念认为 …

[CITATION][C] INVITED EDITORIAL COMMENT: A Comparison of the Mean–Variance-Leverage Optimization Model and the Markowitz General Mean–Variance …

BI Jacobs, KN Levy - The Journal of …, 2013 - Institutional Investor Journals …