Simplified Mean-Variance Portfolio Optimisation

We propose a simplified approach to mean-variance portfolio problems by changingtheir parametrisation from trading strategies to final positions. This allows us to treat,under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisationproblems by simple mathematical tools in a unified and model-independent way. Weprovide explicit formulas for optimal positions and values, connections between the solutionsto the different problems, two-fund separation results, and explicit expressions forindifference values.[...]

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Year of publication:	2011-09-30
Authors:	Fontana, Claudio ; Schweizer, Martin
Institutions:	National Centre of Competence in Research - Financial Valuation and Risk Management
Subject:	Hedging \| Bewertung \| Portfoliomanagement \| portfolio management \| Markowitz, Harry \| Markowitz problem

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Extent:	381952 bytes 33 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper No. 729
Type of publication:	Book / Working Paper
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; Strategic management ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009418985