Free Access
Issue
RAIRO-Oper. Res.
Volume 51, Number 4, October-December 2017
Page(s) 921 - 930
DOI https://doi.org/10.1051/ro/2016055
Published online 21 November 2017
  • Y.P. Aneja and K.P.K. Nair, Bicriteria Transportation Problem. Manag. Sci. 25 (1979) 73–78. [CrossRef] [Google Scholar]
  • P. Artzner, F. Delbaen, J.M. Eber and D. Heath, Thinking coherently. Risk 10 (1997) 68–71. [Google Scholar]
  • P. Artzner, F. Delbaen, J.M. Eber and D. Heath, Coherent measure of risk. Math. Finance 9 (1999) 203–228. [CrossRef] [MathSciNet] [Google Scholar]
  • M.S. Bazaraa, J.J. Jarvis and H.D. Sherali, Linear Programming and Network Flows. John Wiley & Sons, New York (2005). [Google Scholar]
  • A. Biglova, S. Ortobelli, S. Rachev and S. Stoyanov, Different approaches to risk estimation in portfolio theory. J. Portfolio Manag. 31 (2004) 103–112. [CrossRef] [Google Scholar]
  • R. Keykhaei and M.T. Jahandideh, Tangency portfolios in the LP solvable portfolio selection models. RAIRO: OR 46 (2012) 149–158. [CrossRef] [EDP Sciences] [Google Scholar]
  • H.M. Markowitz, Portfolio Selection. J. Finance 7 (1952) 77–91. [Google Scholar]
  • D. Martin, S. Rachev and F. Siboulet, Phi-alpha Optimal Portfolios and Extreme Risk Management. Wilmott Mag. Finance (2003) 70–83. [Google Scholar]
  • G.C. Pflug, Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk, in Probabilistic Constrained Optimization: Methodology and Applications, edited by S. Uryasev. Kluwer (2000) 272–281. [Google Scholar]
  • S. Rachev, T. Jasic, S. Stoyanov and F. Fabozzi, Momentum strategies using reward-risk stock selection criteria. J. Banking Finance 31 (2007) 2325–2346. [CrossRef] [Google Scholar]
  • R.T. Rockafellar and S. Uryasev, Optimization of Conditional Value-at-Risk. J. Risk 2 (2000) 21–41. [CrossRef] [Google Scholar]
  • R.T. Rockafellar and S. Uryasev, Conditional value-at-risk for general loss distributions. J. Bank. Finance 26 (2002) 1443–1471. [CrossRef] [Google Scholar]
  • W.F. Sharpe, Mutual funds performance. J. Business 39 (1966) 119–138. [CrossRef] [Google Scholar]
  • W.F. Sharpe, The Sharpe ratio. J. Portfolio Manag. 21 (1994) 49–58. [CrossRef] [Google Scholar]
  • S. Stoyanov, S. Rachev and F. Fabozzi, Optimal financial portfolios. Appl. Math. Finance 14 (2007) 403–438. [CrossRef] [Google Scholar]
  • J. Tobin, Liquidity Preference as a Behavior Towards Risk. Rev. Econ. Stud. 25 (1958) 65–86. [CrossRef] [Google Scholar]
  • R.H. Tütüncü, A Note on Calculating the Optimal Risky Portfolio. Finance Stoch. 5 (2001) 413–417. [CrossRef] [MathSciNet] [Google Scholar]
  • L. Zhu, T.F. Coleman and Y. Li, Min-max robust CVaR robust mean-variance portfolios. J. Risk 11 (2009) 55–85. [CrossRef] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.