Search Results - subject:"Markowitz's mean-variance model"

The BSS-FM estimation of international assets allocation for China Mainland investors

Tang, Xuan; Gao, Xing; Zhou, Qiuping; Ma, Jian - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1224-1236

Persistent link: https://www.econbiz.de/10012211536

Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk

Caliskan, Tuncer - In: Business and Economics Research Journal 3 (2012) 4, pp. 43-43

This study aims to compare Black Litterman Model and Markowitz Mean Variance Model with beta factor, unsystematic risk … between 2003 and 2009. By using Markowitz Mean Variance Model and Black Litterman Model, totally 26 portfolios are formed …

Persistent link: https://www.econbiz.de/10010991058

Continuous-time Markowitz's model with constraints on wealth and portfolio

Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736

Persistent link: https://www.econbiz.de/10011622222

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopa, Miloš - In: European Journal of Operational Research 234 (2014) 2, pp. 434-441

Markowitz mean–variance model. In this paper we relax these assumptions having in mind the first order stochastic dominance and …

Persistent link: https://www.econbiz.de/10011052575

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441

Persistent link: https://www.econbiz.de/10010356735

Pair-copulas modeling in finance

Mendes, Beatriz; Semeraro, Mariângela; Leal, Ricardo - In: Financial Markets and Portfolio Management 24 (2010) 2, pp. 193-213

Persistent link: https://www.econbiz.de/10008596995