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Financial modelling: Where to go? With an illustration for portfolio management

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  • Spronk, Jaap
  • Hallerbach, Winfried
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  • Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
    • Handle: RePEc:eee:ejores:v:99:y:1997:i:1:p:113-125
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    References listed on IDEAS

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    16. Gabriel Hawawini & Donald B. Keim, "undated". "On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)," Rodney L. White Center for Financial Research Working Papers 23-92, Wharton School Rodney L. White Center for Financial Research.
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    Cited by:

    1. Samaras, Georgios D. & Matsatsinis, Nikolaos F. & Zopounidis, Constantin, 2008. "A multicriteria DSS for stock evaluation using fundamental analysis," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1380-1401, June.
    2. P Xidonas & G Mavrotas & J Psarras, 2010. "A multiple criteria decision-making approach for the selection of stocks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(8), pages 1273-1287, August.
    3. Xidonas, Panagiotis & Mavrotas, George & Zopounidis, Constantin & Psarras, John, 2011. "IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection," European Journal of Operational Research, Elsevier, vol. 210(2), pages 398-409, April.
    4. L. Peter Jennergren, 2024. "The economic incentive for risk taking in professional partnerships," Review of Managerial Science, Springer, vol. 18(7), pages 2141-2161, July.
    5. Yue Qi, 2017. "On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(1), pages 145-158, March.
    6. Berna Bulgurcu, 2013. "Financial Performance Ranking of the Automotive Industry Firms in Turkey: Evidence from an Entropy-Weighted Technique," International Journal of Economics and Financial Issues, Econjournals, vol. 3(4), pages 844-851.
    7. Mike G. Tsionas, 2021. "Multi-criteria optimization in regression," Annals of Operations Research, Springer, vol. 306(1), pages 7-25, November.
    8. Akshit Kurani & Pavan Doshi & Aarya Vakharia & Manan Shah, 2023. "A Comprehensive Comparative Study of Artificial Neural Network (ANN) and Support Vector Machines (SVM) on Stock Forecasting," Annals of Data Science, Springer, vol. 10(1), pages 183-208, February.
    9. Ralph Steuer & Yue Qi & Markus Hirschberger, 2007. "Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection," Annals of Operations Research, Springer, vol. 152(1), pages 297-317, July.
    10. Marchioni, Andrea & Magni, Carlo Alberto, 2018. "Investment decisions and sensitivity analysis: NPV-consistency of rates of return," European Journal of Operational Research, Elsevier, vol. 268(1), pages 361-372.
    11. Nagurney, Anna & Ke, Ke, 2006. "Financial networks with intermediation: Risk management with variable weights," European Journal of Operational Research, Elsevier, vol. 172(1), pages 40-63, July.
    12. Yue Qi, 2022. "Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models," Annals of Operations Research, Springer, vol. 311(2), pages 1203-1227, April.
    13. Florian Methling & Rüdiger Nitzsch, 2019. "Thematic portfolio optimization: challenging the core satellite approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 133-154, June.
    14. Panos Xidonas & Ilias Lekkos & Charis Giannakidis & Christos Staikouras, 2023. "Multicriteria security evaluation: does it cost to be traditional?," Annals of Operations Research, Springer, vol. 323(1), pages 301-330, April.
    15. Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).
    16. Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
    17. Kenny Baumli & Tooraj Jamasb, 2020. "Assessing Private Investment in African Renewable Energy Infrastructure: A Multi-Criteria Decision Analysis Approach," Sustainability, MDPI, vol. 12(22), pages 1-19, November.
    18. Altannar Chinchuluun & Panos Pardalos, 2007. "A survey of recent developments in multiobjective optimization," Annals of Operations Research, Springer, vol. 154(1), pages 29-50, October.
    19. Panagiotis Xidonas & George Mavrotas & John Psarras, 2010. "Equity portfolio construction and selection using multiobjective mathematical programming," Journal of Global Optimization, Springer, vol. 47(2), pages 185-209, June.
    20. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
    21. Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
    22. Yue Qi & Ralph E. Steuer & Maximilian Wimmer, 2017. "An analytical derivation of the efficient surface in portfolio selection with three criteria," Annals of Operations Research, Springer, vol. 251(1), pages 161-177, April.
    23. V. Jog & I. Kaliszewski & W. Michalowski, 1998. "Using Trade-off Information in Attributes' Investing," Working Papers ir98019, International Institute for Applied Systems Analysis.
    24. Tsionas, Mike G., 2018. "A Bayesian approach to find Pareto optima in multiobjective programming problems using Sequential Monte Carlo algorithms," Omega, Elsevier, vol. 77(C), pages 73-79.

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