1. Integration of prediction and optimization for smart stock portfolio selection. (2025). Sarkar, Puja ; Khanapuri, Vivekanand B ; Tiwari, Manoj Kumar.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:321:y:2025:i:1:p:243-256.

   Full description at Econpapers || Download paper

2. Portfolio Optimization Using Novel EW-MV Method in Conjunction with Asset Preselection. (2024). Jha, Manoj ; Singh, Priya.
   In: Computational Economics.
   RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10583-8.

   Full description at Econpapers || Download paper

3. Robust and Sparse Portfolio: Optimization Models and Algorithms. (2023). Yang, Yizhou ; Jiang, Yilun ; Zhao, Hongxin.
   In: Mathematics.
   RePEc:gam:jmathe:v:11:y:2023:i:24:p:4925-:d:1298050.

   Full description at Econpapers || Download paper

4. Portfolios with return and volatility prediction for the energy stock market. (2023). Wang, Yudong ; Ma, Yilin ; Zhang, Chong.
   In: Energy.
   RePEc:eee:energy:v:270:y:2023:i:c:s0360544223003523.

   Full description at Econpapers || Download paper

5. Adaptive online portfolio strategy based on exponential gradient updates. (2022). Zhang, Yong ; Yang, Xingyu ; Zheng, Lina ; Lin, Hong.
   In: Journal of Combinatorial Optimization.
   RePEc:spr:jcomop:v:43:y:2022:i:3:d:10.1007_s10878-021-00800-7.

   Full description at Econpapers || Download paper

6. Exploiting Mean-Variance Portfolio Optimization Problems through Zeroing Neural Networks. (2022). Mourtas, Spyridon D ; Kasimis, Chrysostomos.
   In: Mathematics.
   RePEc:gam:jmathe:v:10:y:2022:i:17:p:3079-:d:898341.

   Full description at Econpapers || Download paper

7. A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning. (2022). Chen, Wei ; Jia, Lifen ; Zhang, Haoyu.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:63:y:2022:i:c:s106294082200153x.

   Full description at Econpapers || Download paper

1. Angel, J.J. ; Christophe, S.E. ; Ferri, M.G. A close look at short selling on Nasdaq. 2003 Financial Analysts Journal. 59 66-74
   Paper not yet in RePEc: Add citation now
   

2. Atkinson, C. ; Mokkhavesa, S. Multi-asset portfolio optimization with transaction cost. 2004 Applied Mathematical Finance. 11 95-123

3. Avramov, D. ; Chordia, T. Predicting stock returns. 2006 Journal of Financial Economics. 82 387-415

4. Benati, S. ; Rizzi, R. A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. 2007 European Journal of Operational Research. 176 423-434

5. Chang, C.T. A modified goal programming approach for the mean-absolute deviation portfolio optimization model. 2005 Applied Mathematics and Computation. 171 567-572
   Paper not yet in RePEc: Add citation now
   

6. Chao, S. Do economic variables improve bond return volatility forecasts?. 2016 International Review of Economics & Finance. 46 10-26

7. DeMiguel, V. ; Garlappi, L. ; Uppal, R. Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?. 2009 Review of Financial Studies. 22 1915-1953

8. Gebka, B. ; Wohar, M.E. Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index. 2019 International Review of Economics & Finance. 60 1-25

9. Jorion, P. Value-at-risk: The new benchmark for controlling market risk. 1997 McGraw-Hill: Chicago
   Paper not yet in RePEc: Add citation now
   

10. Kapsos, M. ; Christofides, N. ; Rustem, B. Worst-case robust Omega ratio. 2014 European Journal of Operational Research. 234 499-507

11. Konno, H. ; Yamazaki, H. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. 1991 Management Science. 37 519-531

12. Li, J. ; Tsiakas, I. Equity premium prediction: The role of economic and statistical constraints. 2017 Journal of Financial Markets. 36 56-75

13. Lin, C.C. Comments on ‘‘A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem”. 2009 European Journal of Operational Research. 194 339-341

14. Low, R.K.Y. ; Alcock, J. ; Faff, R. ; Brailsford, T. Canonical vine copulas in the context of modern portfolio management: Are they worth it?. 2013 Journal of Banking & Finance. 37 3085-3099

15. Markowitz, H. Portfolio selection. 1952 The Journal of Finance. 7 77-91

16. Neely, C.J. ; Rapach, D.E. ; Tu, J. ; Zhou, G. Forecasting the equity risk premium: The role of technical indicators. 2014 Management Science. 60 1772-1791

17. Panopoulou, E. ; Vrontos, S. Hedge fund return predictability: To combine forecasts or combine information?. 2015 Journal of Banking & Finance. 56 103-122

18. Rockafellar, R.T. ; Uryasev, S. Optimization of conditional value-at-risk. 2000 Journal of Risk. 2 21-42
    Paper not yet in RePEc: Add citation now
    
19. Ustun, O. ; Kasimbeyli, R. Combined forecasts in portfolio optimization: A generalized approach. 2012 Computers & Operations Research. 39 805-819
    Paper not yet in RePEc: Add citation now
    
20. Vercher, E. ; Bermudez, J.D. ; Segura, J.V. Fuzzy portfolio optimization under downside risk measures. 2007 Fuzzy Sets and Systems. 158 769-782
    Paper not yet in RePEc: Add citation now
    

21. Woodside-Oriakhi, M. ; Lucas, C. ; Beasley, J.E. Portfolio rebalancing with an investment horizon and transaction costs. 2013 Omega. 41 406-420

22. Yu, J.R. ; Chiou, W.J.P. ; Lee, W. ; Chuang, Y. Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models. 2019 Computers & Operations Research. 104 239-255
    Paper not yet in RePEc: Add citation now
    

23. Yu, J.R. ; Chiou, W.J.P. ; Mu, D.R. A linearized value-at-risk model with transaction costs and short selling. 2015 European Journal of Operational Research. 247 872-878

24. Yu, J.R. ; Lee, W.Y. Portfolio rebalancing model using multiple criteria. 2011 European Journal of Operational Research. 209 166-175

25. Zhu, M. Return distribution predictability and its implications for portfolio selection. 2013 International Review of Economics & Finance. 27 209-223

1. Deciphering Sustainable Growth: The Influence of Corporate Financial Metrics on SGR and Stock Returns. (2024). Murad, Muzaffarov ; Taghi, Guliyev.
   In: WSB Journal of Business and Finance.
   RePEc:vrs:wsbjbf:v:58:y:2024:i:1:p:114-121:n:1011.

   Full description at Econpapers || Download paper

2. Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition. (2024). Lopez, Raquel ; Sevillano, Maria Caridad ; Jareo, Francisco ; Esparcia, Carlos.
   In: Energy Economics.
   RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324001063.

   Full description at Econpapers || Download paper

3. Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ahmed, Ayedi.
   In: Working Papers.
   RePEc:hal:wpaper:halshs-04068651.

   Full description at Econpapers || Download paper

4. Integrating Factor Models. (2023). Voigt, Stefan ; Cheng, SI ; Metzker, Lior ; Avramov, Doron.
   In: Journal of Finance.
   RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

   Full description at Econpapers || Download paper

5. VIX option‐implied volatility slope and VIX futures returns. (2022). Ruan, Xinfeng ; Yoon, Jungah ; Zhang, Jine.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1002-1038.

   Full description at Econpapers || Download paper

6. Targets, Predictability, and Performance. (2022). Wu, Liuren ; Pearanda, Francisco.
   In: Management Science.
   RePEc:inm:ormnsc:v:68:y:2022:i:2:p:1537-1555.

   Full description at Econpapers || Download paper

7. Omega portfolio models with floating return threshold. (2022). Hsin, Yi-Ting ; Chiou, Wan-Jiun Paul ; Yu, Jing-Rung ; Sheu, Her-Jiun.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:82:y:2022:i:c:p:743-758.

   Full description at Econpapers || Download paper

8. Dynamic rebalancing portfolio models with analyses of investor sentiment. (2022). Chang, Yi-Hsuan ; Dong, Wen-Kuei ; Chiou, Paul W ; Yu, Jing-Rung ; Hung, Cing-Hung.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:77:y:2022:i:c:p:1-13.

   Full description at Econpapers || Download paper

9. Aggregation bias in tests of the commodity currency hypothesis. (2022). Bork, Lasse ; Sercu, Piet ; Kaltwasser, Pablo Rovira.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003435.

   Full description at Econpapers || Download paper

10. Energy price uncertainty and the value premium. (2022). Phan, Dinh ; Chiah, Mardy ; Tran, Vuong Thao ; Bach, Dinh Hoang ; Zhong, Angel.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000370.

    Full description at Econpapers || Download paper

11. Factor investing: A Bayesian hierarchical approach. (2022). Feng, Guanhao ; He, Jingyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:1:p:183-200.

    Full description at Econpapers || Download paper

12. Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals. (2021). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00937-2.

    Full description at Econpapers || Download paper

13. Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe.
    In: Discussion Papers.
    RePEc:zbw:bubdps:462020.

    Full description at Econpapers || Download paper

14. Portfolio models with return forecasting and transaction costs. (2020). Lee, Wen-Yi ; Chiou, Wan-Jiun Paul ; Lin, Shun-Ji ; Yu, Jing-Rung.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:66:y:2020:i:c:p:118-130.

    Full description at Econpapers || Download paper

15. Does history repeat itself? Business cycle and industry returns. (2020). Chava, Sudheer ; Zeng, Linghang ; Hsu, Alex.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:116:y:2020:i:c:p:201-218.

    Full description at Econpapers || Download paper

16. Political uncertainty, market anomalies and Presidential honeymoons. (2020). Gray, Stephen ; Chan, Kam Fong ; Zhong, Angel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300169.

    Full description at Econpapers || Download paper

17. Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256.

    Full description at Econpapers || Download paper

18. Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

    Full description at Econpapers || Download paper

19. Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals. (2020). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella.
    In: Discussion Papers.
    RePEc:bir:birmec:20-21.

    Full description at Econpapers || Download paper

20. Factor Investing: A Bayesian Hierarchical Approach. (2020). Feng, Guanhao ; He, Jingyu.
    In: Papers.
    RePEc:arx:papers:1902.01015.

    Full description at Econpapers || Download paper

21. Return dispersion and conditional momentum returns: International evidence. (2018). Docherty, Paul ; Hurst, Gareth.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:50:y:2018:i:c:p:263-278.

    Full description at Econpapers || Download paper

22. NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING. (2017). Safarov, Nemat ; Atkinson, Colin.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500042.

    Full description at Econpapers || Download paper

23. Can investors gain from investing in certain sectors?. (2017). Narayan, Seema ; Ahmed, Huson Ali.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:160-177.

    Full description at Econpapers || Download paper

24. Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph.
    In: Documentos CEDE.
    RePEc:col:000089:015606.

    Full description at Econpapers || Download paper

25. HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS. (2016). Shen, Weiwei ; Broadie, Mark.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s0219024916500254.

    Full description at Econpapers || Download paper

26. Hedging under an expected loss constraint with small transaction costs. (2016). Bouchard, Bruno ; Soner, Mete ; Moreau, Ludovic.
    In: Post-Print.
    RePEc:hal:journl:hal-00863562.

    Full description at Econpapers || Download paper

27. Long-term perspective on the stock market matters in asset pricing. (2016). Park, Heungju ; Sohn, Bumjean.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:162-170.

    Full description at Econpapers || Download paper

28. Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

    Full description at Econpapers || Download paper

29. A reexamination of stock return predictability. (2016). Jacewitz, Stefan ; Choi, Yongok ; Park, Joon Y.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

    Full description at Econpapers || Download paper

30. Stock return forecasting: Some new evidence. (2015). Sharma, Susan ; Phan, Dinh ; Narayan, Paresh ; Phan, Dinh Hoang Bach, .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:38-51.

    Full description at Econpapers || Download paper

31. A linearized value-at-risk model with transaction costs and short selling. (2015). Chiou, Wan-Jiun Paul ; Yu, Jing-Rung ; Mu, Da-Ren .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:247:y:2015:i:3:p:872-878.

    Full description at Econpapers || Download paper

32. General indifference pricing with small transaction costs. (2015). Royer, Guillaume ; Possamai, Dylan.
    In: Papers.
    RePEc:arx:papers:1401.3261.

    Full description at Econpapers || Download paper

33. A bifurcation model of market returns. (2014). Vaga, Tonis ; Nawrocki, David.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:3:p:509-528.

    Full description at Econpapers || Download paper

34. Style and performance of international socially responsible funds in Europe. (2014). Leite, Paulo ; Cortez, Maria Ceu.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:248-267.

    Full description at Econpapers || Download paper

35. An empirical investigation of methods to reduce transaction costs. (2014). Moorman, Ted.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:230-246.

    Full description at Econpapers || Download paper

36. Multi-asset consumption-investment problems with infinite transaction costs. (2014). Zhu, Yeqi ; Hobson, David.
    In: Papers.
    RePEc:arx:papers:1409.8037.

    Full description at Econpapers || Download paper

37. Hedging under an expected loss constraint with small transaction costs. (2014). Soner, Mete H. ; Moreau, Ludovic ; Bouchard, Bruno.
    In: Papers.
    RePEc:arx:papers:1309.4916.

    Full description at Econpapers || Download paper

38. Hedging under an expected loss constraint with small transaction costs. (2013). Soner, Mete ; Moreau, Ludovic ; Bouchard, Bruno.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00863562.

    Full description at Econpapers || Download paper

39. The cross section of conditional mutual fund performance in European stock markets. (2013). wermers, russell ; Gillen, Ben ; Banegas, Ayelen ; Timmermann, Allan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:108:y:2013:i:3:p:699-726.

    Full description at Econpapers || Download paper

40. Homogenization and asymptotics for small transaction costs: the multidimensional case. (2013). Touzi, Nizar ; Soner, Mete H. ; Possamai, Dylan.
    In: Papers.
    RePEc:arx:papers:1212.6275.

    Full description at Econpapers || Download paper

41. Homogenization and asymptotics for small transaction costs. (2013). Touzi, Nizar ; Soner, Mete H..
    In: Papers.
    RePEc:arx:papers:1202.6131.

    Full description at Econpapers || Download paper

42. The cross-section of conditional mutual fund performance in European stock markets. (2012). wermers, russell ; Gillen, Ben ; Banegas, Ayelen ; Timmermann, Allan.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0903r.

    Full description at Econpapers || Download paper

43. Payout yield, risk, and mispricing: A Bayesian analysis. (2012). Shanken, Jay ; Tamayo, Ane.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:1:p:131-152.

    Full description at Econpapers || Download paper

44. State uncertainty in stock markets: How big is the impact on the cost of equity?. (2012). Han, Yufeng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:9:p:2575-2592.

    Full description at Econpapers || Download paper

45. Asymmetric dynamics of stock price continuation. (2012). Huang, Alex.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1839-1855.

    Full description at Econpapers || Download paper

46. Selectivity and timing performance of UK investment trusts. (2012). Su, Chen ; Joseph, Nathan L. ; Bangassa, Kenbata.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:5:p:1149-1175.

    Full description at Econpapers || Download paper

47. The momentum effect on Chinese real estate stocks: Evidence from firm performance levels. (2012). Lee, Liang-Chien ; Huang, Gow-Liang ; Kuo, Chin-Tai.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2392-2406.

    Full description at Econpapers || Download paper

48. Hedge funds, managerial skill, and macroeconomic variables. (2011). Kosowski, Robert ; Naik, Narayan Y. ; Teo, Melvyn ; Avramov, Doron.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:672-692.

    Full description at Econpapers || Download paper

49. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Martin, Spencer J. ; Nardari, Federico.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:560-580.

    Full description at Econpapers || Download paper

50. An Examination of Dynamic Trading Stategies in UK and US Stock Returns. (2011). Fletcher, Jonathan.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:38:y:2011:i:9-10:p:1290-1310.

    Full description at Econpapers || Download paper

51. Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs. (2010). Storey, Emmeline ; Atkinson, Colin.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:17:y:2010:i:4:p:323-357.

    Full description at Econpapers || Download paper

52. Ex Post Portfolio Performance with Predictable Skewness and Kurtosis. (2010). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Carlo Alberto Notebooks.
    RePEc:cca:wpaper:191.

    Full description at Econpapers || Download paper

53. Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice. (2009). Frehen, Rik ; Schotman, P. C. ; Cosemans, M. ; Frehen, R. G. P., ; Bauer, R. M. M. J., .
    In: MPRA Paper.
    RePEc:pra:mprapa:23557.

    Full description at Econpapers || Download paper

54. Learning in Financial Markets. (2009). Pastor, Lubos ; Pstor, ubo ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14646.

    Full description at Econpapers || Download paper

55. Time and risk diversification in real estate investments: assessing the ex post economic value. (2009). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
    In: Working Papers.
    RePEc:fip:fedlwp:2009-001.

    Full description at Econpapers || Download paper

56. Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model. (2009). Chang, Kuang-Liang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1283-1299.

    Full description at Econpapers || Download paper

57. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value. (2009). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:37:y:2009:i:3:p:341-381.

    Full description at Econpapers || Download paper

58. Correlated multi-asset portfolio optimisation with transaction cost. (2009). Law, Siu Lung ; Howison, Sam ; Dewynne, Jeff N. ; Lee, Chiu Fan.
    In: Papers.
    RePEc:arx:papers:0705.1949.

    Full description at Econpapers || Download paper

59. Recursive portfolio selection with decision trees. (2008). Timofeev, Roman ; Härdle, Wolfgang ; Andriyashin, Anton ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2008-009.

    Full description at Econpapers || Download paper

60. REITs dynamics under structural change with unknown break points. (2007). Leatham, David ; Bessler, David ; Kim, J. W..
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:16:y:2007:i:1:p:37-58.

    Full description at Econpapers || Download paper

61. Too much cocited documents. This list is not complete

Report date: 2025-10-05 18:51:13 || Missing content? Let us know