On Inverse Markowitz' Eventological Problem

Peculiarities of Application of Direct and Inverse Eventological Markowitz' Problems

On new Notion of Eventological Means of Fuzzy Events

Portfolio Optimization Based on Cross Efficiencies By Linear Model of Conditional Value at Risk Minimization

Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...

Eventological System Analysis and Its Applications

Markowitz Models of Portfolio Selection: The Inverse Problem

Predictions about investor portfolio holdings can provide powerful tests of asset pricing theories. In the context of Markowitz portfolio selection problem, this paper develops an algorithm which determines the structural parameters in both the investor's return-generating process and the utility function based upon the actual portfolio choices made by each investor. We refer to this problem as...