Harry M. Markowitz : Citation Profile


Are you Harry M. Markowitz?

Nobel prize laureate

University of California-San Diego (UCSD)

12

H index

13

i10 index

3712

Citations

RESEARCH PRODUCTION:

32

Articles

5

Papers

11

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   55 years (1963 - 2018). See details.
   Cites by year: 67
   Journals where Harry M. Markowitz has often published
   Relations with other researchers
   Recent citing documents: 274.    Total self citations: 7 (0.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma73
   Updated: 2020-09-26    RAS profile: 2020-08-22    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Harry M. Markowitz.

Is cited by:

Wong, Wing-Keung (96)

McAleer, Michael (65)

Levy, Moshe (26)

Allen, David (22)

Lean, Hooi Hooi (21)

Fabozzi, Frank (17)

Platen, Eckhard (17)

Peel, David (16)

Parolya, Nestor (15)

Powell, Robert (13)

Baptista, Alexandre (12)

Cites to:

French, Kenneth (7)

Fama, Eugene (5)

Stambaugh, Robert (4)

Shleifer, Andrei (3)

Vishny, Robert (3)

Sharpe, William (3)

Roll, Richard (2)

Thaler, Richard (2)

Utz, Sebastian (2)

Campbell, John (2)

Summers, Lawrence (2)

Main data


Where Harry M. Markowitz has published?


Journals with more than one article published# docs
Journal of Finance6
Management Science4
Naval Research Logistics Quarterly3
Operations Research2
Annals of Operations Research2
Journal of Risk and Uncertainty2

Recent works citing Harry M. Markowitz (2020 and 2019)


YearTitle of citing document
2019Financial Management of the Romanian Preuniversitary Education Institutions. (2019). Matei, Gheorghe ; Alexandru, Irina Maria. In: Finante - provocarile viitorului (Finance - Challenges of the Future). RePEc:aio:fpvfcf:v:1:y:2019:i:21:p:63-78.

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2020Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case. (2014). Zawisza, Dariusz ; Trybula, Jakub . In: Papers. RePEc:arx:papers:1403.3212.

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2019Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1704.00416.

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2019A Mathematical Analysis of Technical Analysis. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1710.09476.

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2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2019). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

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2019Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios. (2019). Parolya, Nestor ; Schmid, Wofgang ; Ivasiuk, Dmytro ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1806.08005.

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2019Weak comonotonicity. (2019). Wang, Ruodu ; Zitikis, Ricardas . In: Papers. RePEc:arx:papers:1812.04827.

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2019Robust Asset Allocation for Robo-Advisors. (2019). Roncalli, Thierry ; Lezmi, Edmond ; Bourgeron, Thibault. In: Papers. RePEc:arx:papers:1902.07449.

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2019Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey. (2019). Sato, Yoshiharu. In: Papers. RePEc:arx:papers:1904.04973.

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2019Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2019Artificial Intelligence Alter Egos: Who benefits from Robo-investing?. (2019). Raymond, Steve ; Ghysels, Eric ; de Winne, Rudy ; DEWINNE, Rudy ; D'Hondt, Catherine. In: Papers. RePEc:arx:papers:1907.03370.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2019Validating Weak-form Market Efficiency in United States Stock Markets with Trend Deterministic Price Data and Machine Learning. (2019). Gropp, Jeffrey ; Showalter, Samuel. In: Papers. RePEc:arx:papers:1909.05151.

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2019The Optimal Deterrence of Crime: A Focus on the Time Preference of DWI Offenders. (2019). Ru, Yan ; Wang, Yuqing. In: Papers. RePEc:arx:papers:1909.06509.

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2019Machine Learning Optimization Algorithms & Portfolio Allocation. (2019). Roncalli, Thierry ; Perrin, Sarah. In: Papers. RePEc:arx:papers:1909.10233.

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2019Risk as Challenge: A Dual System Stochastic Model for Binary Choice Behavior. (2019). Haber, Ido ; Shye, Samuel. In: Papers. RePEc:arx:papers:1910.04487.

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2019Portfolio Cuts: A Graph-Theoretic Framework to Diversification. (2019). Mandic, Danilo P ; Constantinides, Anthony G ; Stankovic, Ljubisa ; Dees, Bruno Scalzo. In: Papers. RePEc:arx:papers:1910.05561.

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2020Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2020The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process. (2020). Xu, Xiao. In: Papers. RePEc:arx:papers:2005.10661.

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2020Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237.

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2020A Natural Actor-Critic Algorithm with Downside Risk Constraints. (2020). Spooner, Thomas ; Savani, Rahul. In: Papers. RePEc:arx:papers:2007.04203.

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2019Economic Cycle and the Large-Scale Asset Allocation Strategy of Chinese National Social Security Fund. (2019). Tang, Zijie. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:1405-1418.

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2020What Does the CAPM Say About Operating Leverage?. (2020). Liang, Zini ; Zhu, Yushu ; Shen, Yun ; Smith, Tom ; Linnenluecke, Martina K. In: Abacus. RePEc:bla:abacus:v:56:y:2020:i:2:p:288-291.

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2020Shortfall aversion. (2020). Ren, Dan ; Huberman, Gur ; Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:869-920.

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2019The Ecological Rationality of Historical Costs and Conservatism. (2019). Eduard, Braun. In: Accounting, Economics, and Law: A Convivium. RePEc:bpj:aelcon:v:9:y:2019:i:1:p:30:n:1.

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2019Assessing supply security - A compound indicator. (2019). Weigt, Hannes ; Chavaz, Leo ; Abrell, Jan. In: Working papers. RePEc:bsl:wpaper:2019/10.

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2019How to Alleviate Correlation Neglect. (2019). Weber, Martin ; Ungeheuer, Michael ; Laudenbach, Christine. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13737.

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2019Portfolios Optimizations of Behavioral Stocks with Perception Probability Weightings. (2019). Young, Michael Nayat ; Chang, Kuo-Hwa. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:changyoung.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2019Macroeconomic Dynamics at the Cowles Commission from the 1930s to the 1950s. (2019). Hagemann, Harald ; Dimand, Robert W. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2196.

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2019Reducing risk through crop diversification: An application of portfolio theory to diversified horticultural systems. (2019). Paut, Raphael ; Tchamitchian, Marc ; Sabatier, Rodolphe. In: Agricultural Systems. RePEc:eee:agisys:v:168:y:2019:i:c:p:123-130.

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2019Willingness to pay for improved irrigation water supply reliability: An approach based on probability density functions. (2019). Glenk, Klaus ; Gomez-Limon, Jose A ; Villanueva, Anastasio J ; Guerrero-Baena, Dolores M. In: Agricultural Water Management. RePEc:eee:agiwat:v:217:y:2019:i:c:p:11-22.

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2019Computing the economic value of climate information for water stress management exemplified by crop production in Austria. (2019). Schmid, Erwin ; Mitter, Hermine. In: Agricultural Water Management. RePEc:eee:agiwat:v:221:y:2019:i:c:p:430-448.

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2020A kind of optimal investment problem under inflation and uncertain time horizon. (2020). Wu, Zhen ; Wang, Haiyang ; Huang, Zongyuan . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:375:y:2020:i:c:s0096300320300539.

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2020Modeling right-skewed financial data streams: A likelihood inference based on the generalized Birnbaum–Saunders mixture model. (2020). Jamalizadeh, Ahad ; Bekker, Andriette ; Hashemi, Farzane ; Naderi, Mehrdad. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:376:y:2020:i:c:s0096300320300783.

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2020A decision model based on expected utility, entropy and variance. (2020). Brito, Irene. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:379:y:2020:i:c:s009630032030254x.

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2019Building resilient renewable power generation portfolios: The impact of diversification on investors’ risk and return. (2019). Stephan, Annegret ; Yan, Xuqian ; Sinsel, Simon R. In: Applied Energy. RePEc:eee:appene:v:254:y:2019:i:c:s0306261919310220.

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2020Risk-conscious optimization model to support bioenergy investments in the Brazilian sugarcane industry. (2020). Mutran, Victoria M ; Chachuat, Benoit ; Ribeiro, Celma O. In: Applied Energy. RePEc:eee:appene:v:258:y:2020:i:c:s0306261919316654.

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2019Eliciting subjective expectations for bivariate outcomes. (2019). Drerup, Tilman H. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:23:y:2019:i:c:p:29-45.

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2019“Tough Guy” vs. “Cushion” hypothesis: How does individualism affect risk-taking?. (2019). Illiashenko, Pavlo. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:24:y:2019:i:c:s2214635019300115.

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2019Stop the music? The effect of music on risky financial decisions: An experimental study. (2019). Ziv, Naomi ; Lahav, Eyal ; Israel, Avi . In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:24:y:2019:i:c:s2214635019300188.

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2020Risk aversion, prudence and temperance: It is a matter of gap between moments. (2020). Riccetti, Luca ; Colasante, Annarita. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019301522.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2019Institutional preferences, demand shocks and the distress anomaly. (2019). Liu, Jia ; Wu, Yuliang ; Ye, Qing. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:72-91.

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2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

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2019CEO traders and corporate acquisitions. (2019). Leung, Henry ; Westerholm, Joakim P ; Tse, Jeffrey. In: Journal of Corporate Finance. RePEc:eee:corfin:v:54:y:2019:i:c:p:107-127.

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2019Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2019). Panchenko, Valentyn ; Lafond, François ; Way, Rupert ; Farmer, Doyne J ; Lillo, Fabrizio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:211-238.

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2019Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2019A unified model for regularized and robust portfolio optimization. (2019). Plachel, Lukas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301769.

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2020Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2019Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:197-212.

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2020An assessment of contagion risks in the banking system using non-parametric and Copula approaches. (2020). Duong, Duy ; Nguyen, Sang Phu ; Nasir, Muhammad Ali ; Duc, Toan Luu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:65:y:2020:i:c:p:105-116.

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2019How markets will drive the transition to a low carbon economy. (2019). Smith, Tom ; Pan, Zheyao ; Han, Jianlei ; Linnenluecke, Martina K. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:42-54.

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2019Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

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2020The effect of risk-taking behavior on profitability: Evidence from futures market. (2020). Lin, Chao Hsien ; Lee, Chun I ; Cheng, Teng Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:19-38.

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2020Can investment advisors promote rational investment? Evidence from micro-data in China. (2020). Wang, Lin ; Zhang, Yixing ; Lu, Xiaomeng. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:251-263.

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2019Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach. (2019). Yuan, Ying ; Chen, NA ; Jin, Xiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:492-504.

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2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Hedge fund returns and uncertainty. (2019). Krause, Timothy A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:597-601.

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2019Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses. (2019). SAITI, BURHAN ; Mat, Gairuzazmi Bin ; Rahman, Maya Puspa ; Bhuiyan, Rubaiyat Ahsan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:675-687.

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2019Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon. (2019). Garcia, Rene ; Campani, Carlos Heitor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:364-384.

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2019An efficient portfolio construction model using stock price predicted by support vector regression. (2019). Padhy, Sudarsan ; Mishra, Sasmita. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818302481.

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2019Relationship between the United States housing and stock markets: Some evidence from wavelet analysis. (2019). Liow, Kim ; Song, Jeonseop ; Huang, Yuting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s106294081930035x.

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2020Investor protection, regulation and bank risk-taking behavior. (2020). Teixeira, Joao ; Mario, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304546.

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2020Should we worry about the decline of the public corporation? A brief survey of the economics and external effects of the stock market. (2020). TÃ¥g, Joacim ; Persson, Lars ; Tg, Joacim ; Koptyug, Nikita. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304935.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020Risk decomposition, estimation error, and naïve diversification. (2020). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302165.

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2020Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach. (2020). Yoon, Seong-Min ; Li, Changhong ; Dong, Xiyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303006.

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

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2019Optimal allocation of limited resources to biosecurity surveillance using a portfolio theory methodology. (2019). Giannini, Fiona ; Barnes, Belinda ; Walker, James ; Arthur, Anthony. In: Ecological Economics. RePEc:eee:ecolec:v:161:y:2019:i:c:p:153-162.

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2019Are pension funds actively decarbonizing their portfolios?. (2019). Boermans, Martijn ; Galema, Rients. In: Ecological Economics. RePEc:eee:ecolec:v:161:y:2019:i:c:p:50-60.

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2020Measuring the value of ecosystem-based fishery management using financial portfolio theory. (2020). Escapa, Marta ; Chamorro, Jose ; Prellezo, Raul ; Murillas, Arantza ; Gallastegui, Maria Carmen ; Ansuategi, Alberto ; Carmona, Itsaso. In: Ecological Economics. RePEc:eee:ecolec:v:169:y:2020:i:c:s0921800919301429.

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2020Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement. (2020). de Angelis, Luca ; Monasterolo, Irene. In: Ecological Economics. RePEc:eee:ecolec:v:170:y:2020:i:c:s0921800919309607.

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2019Portfolio management with cryptocurrencies: The role of estimation risk. (2019). Urquhart, Andrew ; Platanakis, Emmanouil. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:76-80.

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2020Spatial conservation planning under uncertainty using modern portfolio theory and Nash bargaining solution. (2020). Udell, Bradley J ; Yurek, Simeon ; Martin, Julien ; Eaton, Mitchell ; Charkhgard, Hadi ; Sierra-Altamiranda, Alvaro. In: Ecological Modelling. RePEc:eee:ecomod:v:423:y:2020:i:c:s0304380020300880.

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2019A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. (2019). Li, Degui ; Chen, Jia ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:155-176.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2020High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

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2020Ultrahigh dimensional precision matrix estimation via refitted cross validation. (2020). Li, Runze ; Wang, Christina Dan ; Chen, Zhao. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:118-130.

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2019An a posteriori decision support methodology for solving the multi-criteria supplier selection problem. (2019). Kellner, Florian ; Utz, Sebastian ; Lienland, Bernhard . In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:2:p:505-522.

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2019Supply chain network equilibrium with strategic financial hedging using futures. (2019). Liu, Zugang ; Wang, Jia. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:962-978.

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2019Modelling social responsibility in mutual fund performance appraisal: A two-stage data envelopment analysis model with non-discretionary first stage output. (2019). , Don. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:376-389.

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2019The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2019). Penev, Spiridon ; Wu, Wei ; Shevchenko, Pavel V. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:772-784.

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2019A bi-level programming approach for global investment strategies with financial intermediation. (2019). Benita, Francisco ; Nasini, Stefano ; Lopez-Ramos, Francisco . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:375-390.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2019Stocks for the log-run and constant relative risk aversion preferences. (2019). Levy, Moshe. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:3:p:1163-1168.

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2019Sigma-Mu efficiency analysis: A methodology for evaluating units through composite indicators. (2019). Ishizaka, Alessio ; Greco, Salvatore ; Torrisi, Gianpiero ; Tasiou, Menelaos. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:942-960.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2019Portfolio optimization with entropic value-at-risk. (2019). Fallah-Tafti, Malihe ; Ahmadi-Javid, Amir. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:1:p:225-241.

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2020Weak comonotonicity. (2020). Wang, Ruodu ; Zitikis, Riardas. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:386-397.

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2020An analysis of the Hypervolume Sharpe-Ratio Indicator. (2020). Guerreiro, Andreia P ; Fonseca, Carlos M. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:614-629.

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2020Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand. (2020). Baykal-Gursoy, Melike ; Rubio-Herrero, Javier. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:942-953.

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2020Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs. (2020). Puerto, Justo ; Ponce, Diego ; Leal, Marina. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:712-727.

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More than 100 citations found, this list is not complete...

Harry M. Markowitz has edited the books:


YearTitleTypeCited

Works by Harry M. Markowitz:


YearTitleTypeCited
2010Portfolio Theory: As I Still See It In: Annual Review of Financial Economics.
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article15
1976Investment for the Long Run: New Evidence for an Old Rule. In: Journal of Finance.
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article46
2011Investment for the Long Run: New Evidence for an Old Rule.(2011) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
chapter
1981Portfolio Analysis with Factors and Scenarios. In: Journal of Finance.
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article15
1983 Nonnegative or Not Nonnegative: A Question about CAPMs. In: Journal of Finance.
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article2
1984 Mean-Variance versus Direct Utility Maximization. In: Journal of Finance.
[Full Text][Citation analysis]
article125
1991 Foundations of Portfolio Theory. In: Journal of Finance.
[Full Text][Citation analysis]
article128
1990Foundations of Portfolio Theory.(1990) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 128
paper
1952PORTFOLIO SELECTION In: Journal of Finance.
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article2836
2006A NOTE ON SEMIVARIANCE In: Mathematical Finance.
[Full Text][Citation analysis]
article5
2010Portfolio Optimization with Mental Accounts In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article37
1957A Simplex Method for the Portfolio Selection Problem In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper2
2014Mean–variance approximations to expected utility In: European Journal of Operational Research.
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article47
1991Individual versus institutional investing In: Financial Services Review.
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article3
2015Earnings forecasting in a global stock selection model and efficient portfolio construction and management In: International Journal of Forecasting.
[Full Text][Citation analysis]
article7
1993A comparison of some aspects of the U.S. and Japanese equity markets In: Japan and the World Economy.
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article4
1990Normative portfolio analysis: Past, present, and future In: Journal of Economics and Business.
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article2
2004Trains of Thought In: Chapters.
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chapter0
.() In: .
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This paper has another version. Agregated cites: 0
article
Investment for the Long Run In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper3
2018Data Mining Corrections Testing in Chinese Stocks In: Interfaces.
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article0
1966Simulating with SIMSCRIPT In: Management Science.
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article1
1972The Distribution System Simulator In: Management Science.
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article4
1957The Elimination form of the Inverse and its Application to Linear Programming In: Management Science.
[Full Text][Citation analysis]
article11
2015Can Noise Create the Size and Value Effects? In: Management Science.
[Full Text][Citation analysis]
article0
2002Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective In: Operations Research.
[Full Text][Citation analysis]
article1
2005Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions In: Operations Research.
[Full Text][Citation analysis]
article6
1996The Likelihood of Various Stock Market Return Distributions, Part 1: Principles of Inference. In: Journal of Risk and Uncertainty.
[Citation analysis]
article15
1996The Likelihood of Various Stock Market Return Distributions, Part 2: Empirical Results. In: Journal of Risk and Uncertainty.
[Citation analysis]
article12
2010Risk and Lack of Diversification under Employee Ownership and Shared Capitalism In: NBER Chapters.
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chapter7
2008Risk and Lack of Diversification under Employee Ownership and Shared Capitalism.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1991Autobiography In: Nobel Prize in Economics documents.
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paper0
In: .
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article0
2010Employee stock ownership and diversification In: Annals of Operations Research.
[Full Text][Citation analysis]
article3
2018Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth In: Annals of Operations Research.
[Full Text][Citation analysis]
article0
1952The Utility of Wealth In: Journal of Political Economy.
[Full Text][Citation analysis]
article352
1963A note on shortest path, assignment, and transportation problems In: Naval Research Logistics Quarterly.
[Full Text][Citation analysis]
article0
1956The optimization of a quadratic function subject to linear constraints In: Naval Research Logistics Quarterly.
[Full Text][Citation analysis]
article20
1957Computing procedures for portfolio selection (abstract) In: Naval Research Logistics Quarterly.
[Full Text][Citation analysis]
article1
2012MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]
article2
2005RESAMPLED FRONTIERS VERSUS DIFFUSE BAYES: AN EXPERIMENT In: World Scientific Book Chapters.
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chapter0
2009Overview In: World Scientific Book Chapters.
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chapter0
20091952 In: World Scientific Book Chapters.
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chapter0
2009Rand [I] and The Cowles Foundation In: World Scientific Book Chapters.
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chapter0
2009Rand [II] and CACI In: World Scientific Book Chapters.
[Full Text][Citation analysis]
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2009IBMs T. J. Watson Research Center In: World Scientific Book Chapters.
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chapter0
2009Baruch College (CUNY) and Daiwa Securities In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2009Harry Markowitz Company In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team