Portfolio frontiers with restrictions to tracking error volatility and value at risk

Portfolio Selection: Efficient Diversification of Investments

Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations

Business, Finance, Financial Management +14

The Sharpe Ratio

William F. Sharpe · The Journal of Portfolio Management · 1994 · 2.5K citations

Business, Finance, Financial Management +9

How Active Is Your Fund Manager? A New Measure That Predicts Performance

Martijn Cremers, Antti Petäjistö · Review of Financial Studies · 2009 · 1.6K citations

Business, Finance, Financial Management +16

A Mean/Variance Analysis of Tracking Error

Richard Roll · The Journal of Portfolio Management · 1992 · 764 citations

Business, Finance, Financial Management +17

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

Alexei Chekhlov, Stan Uryasev, Michael Zabarankin · International Journal of Theoretical and Applied Finance · 2005 · 328 citations

Management, Financial Management, Risk Management +17