6,114
Views
10
CrossRef citations to date
0
Altmetric
Review Article

Practical aspects of portfolio selection and optimisation on the capital market

, , , &
Pages 14-30 | Received 25 Mar 2015, Accepted 13 Sep 2016, Published online: 18 Jan 2017

References

  • Altăr, Moisă (2002). Portfolio theory. Romania: The Bucharest Academy of Economic Studies.
  • Arratia, A. (2014). Computational finance. An introductory course with R. Barcelona: Atlantis Press. 10.2991/978-94-6239-070-6
  • Baker, H. K., & Filbeck, G. (2013). Portfolio theory and management. Oxford: Oxford University Press. 10.1093/acprof:oso/9780199829699.001.0001
  • Chen, J. (2010) Essentials of technical analysis for financial markets. New Jersey: John Wiley & Sons, Inc.
  • Di Lorenzo, R. (2013). Basic technical analysis of financial markets. A modern approach. Milano: Springer. 10.1007/978-88-470-5421-9
  • Elton, E. J., Gruber, M. J., Brown S. J., Goetzmann, W. N. (2014). Modern portfolio theory and investment analysis. ninth edition. New Jersey: John Wiley & Sons, Inc.
  • Fărcaş, P., & Cuzman, I. (2002a). A selection model for efficient diversified equity portfolios. Bulletins for Applied & Computer Matematics (Bam-2035). Budapest: Pamm Centre, pp. 83–94.
  • Fărcaş, P., & Cuzman, I. (2002b). Comparative study of the sharpe and markowitz methods. Part I. Methods for portfolio optimization according to the risk – rentability criteria. “Aurel Vlaicu” University of Arad Annals, Economics Series, 12, 329–335.
  • Fărcaş, P., & Deac, D. (2010) Portfolio management of stocks quoted at the bucharest stock exchange and the statistical connections of the quotation variations. Studia Universitatis “Vasile Goldiș” Arad, Economics Series, Year 20/2010, Part II, 21, 167–176, Arad, Romania.
  • Fărcaş, P., & Fărcaş, R.-C. (2008) Numerical methods for optimization of the financial assets portfolios. Studia Universitatis “Vasile Goldiş” Arad, IT Series, No. 1x/2008, “Vasile Goldiş” University Press. Vol. I, 150-159.
  • Francis, J. C., & Kim, D. (2013). Modern portfolio theory. Foundations, analysis, and new developments. Hoboken, New Jersey: John Wiley & Sons, Inc.
  • Levy, H. (2012). The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives. Cambrigde, UK: Cambridge University Press.
  • Mandelbrot, B. B. (2008). How fractals can explain what’s wrong with wall street. New York, NY: Scientific American.
  • Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77–91. doi:10.2307/2975974. JSTOR 2975974.
  • Marty, W. (2013). Portfolio analytics. An introduction to return and risk measurement. Geneve: Springer International Publishing Switzerland. 10.1007/978-3-319-03509-3
  • Murphy, J. J. (1999). Technical analysis of the financial markets. A comprehensive guide to trading methods and applications. New York, NY: New York Institute of Finance.
  • Murphy, J. J. (2004). Intermarket analysis. Profiting from global market relationships. Hoboken, NJ: John Wiley & Sons, Inc.
  • Reilly, F., & Brown, K. (2012). Investment analysis & portfolio management. Mason, OH: FinancialEbooks.net, Business School Edition.
  • Schulmerich, M., Leporcher, Y.-M., & Eu, C.-H. (2015). Applied asset and risk management. A guide to modern portfolio management and behavior-driven markets. Berlin Heidelberg: Springer-Verlag. 10.1007/978-3-642-55444-5
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk*. The Journal of Finance, XIX No. 3, 425–442.
  • Sironi, P. (2015). Modern portfolio management: From Markowitz to probabilistic scenario optimisation. Goal-Based and long-term portfolio choice. London: Incisive Media Investments Ltd.
  • Sortino, A., & Price, L. (1994). Performance measurement in a downside risk framework. The Journal of Investing, 3, 59–64. doi:10.3905/joi.3.3.59.
  • Sortino, F. A., & Satchell, S. E. (2001). Managing downside risk in financial markets: Theory, practice and implementation. Reed Educational and Professional Publishing Ltd.
  • Sortino, F., et al. (2010). The Sortino framework for portfolio construction: Focusing on desired target return to optimize upside potential relative to downside risk. Elsevier Inc.
  • Thomsett, M. C. (2012a). Bloomberg visual guide to candlestick charting. Hoboken, New Jersey: John Wiley & Sons Inc. 10.1002/9781119204923
  • Thomsett, M. (2012b). Technical analysis of stock trends explained. Ethan Hathaway: An Easy-to-Understand System for Trading Successfully.
  • Todea, A. (2006). Investment. selection and financing the investment projects. Financial investments – portfolio management. Cluj – Napoca: Casa Cărții de Știință Publisher.
  • Vollmer, M. (2015). A beta-return efficient portfolio optimisation following the CAPM. An Analysis of International Markets and Sectors. Wiesbaden: Springer Fachmedien.10.1007/978-3-658-06634-5