In this article we have reviewed “Modern Portfolio Analysis” and outlined some important
topics for further research. Issues discussed include the history and future of portfolio theory …

This article introduces a class of distortion operators, g α (u)= Φ [Φ-1 (u)+ α] where Φ is the
standard normal cumulative distribution. For any loss (or asset) variable X with a probability …

The Early History of Portfolio Theory: 1600–1960 Page 1 Jully/August 1999 5
PERSPECTIVES The Early History of Portfolio Theory: 1600–1960 Harry M. Markowitz …

This paper describes the application of a simulated annealing approach to the solution of a
complex portfolio selection model. The model is a mixed integer quadratic programming …

Publisher Summary This chapter reviews the main asset-pricing theories in finance and
discusses combining the models by using a simple, unifying framework. The models are …

Selecting program portfolios within a budget constraint is an important challenge in the
management of new product development (NPD). Optimal portfolios are difficult to define …

In this paper, we prove several distributional properties for optimal portfolio weights. The
weights are estimated by replacing the parameters with the sample counterparts. All results …

Segmentation by demographic factors is widely used in bank marketing despite the fact that
the correlation of such factors with the needs of customers is often weak. Segmentation by …

In multivariate statistical analysis, elliptical distributions have recently provided an
alternative to the normal model. Most of the work, however, is spread out in journals …

The aim of this paper is to solve a portfolio selection problem using Sharpe's single index
model in a soft framework. Estimations of subjective or imprecise future beta for every asset …