Search Results - subject:"Mean–variance"

Mean-variance portfolio selection problem : asset reduction via nondominated sorting

Juszczuk, Przemysław; Kaliszewski, Ignacy; … - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 263-272

Persistent link: https://www.econbiz.de/10014249119

Optimal portfolio choices to split orders during supply disruptions : an application of sport's principle for routine sourcing

Padhi, Sidhartha S.; Mukherjee, Soumyatanu - In: Decision sciences 53 (2022) 6, pp. 1068-1087

Persistent link: https://www.econbiz.de/10014280003

Portfolios under different methods and scenarios : a case of Fiji's South Pacific stock exchange

Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-27

develop portfolios under different scenarios. We consider the mean-variance, minimum variance, semi-variance, utility … optimized portfolio under mean-variance, semi-variance, and utility are presented as alternative considerations for nuanced …

Persistent link: https://www.econbiz.de/10014284441

Reconciling mean-variance portfolio theory with non-Gaussian returns

Lassance, Nathan - In: European journal of operational research : EJOR 297 (2022) 2, pp. 729-740

Persistent link: https://www.econbiz.de/10013259928

Mean-variance insurance design with counterparty risk and incentive compatibility

Boonen, Tim J.; Jiang, Wenjun - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 645-667

Persistent link: https://www.econbiz.de/10013270080

Characteristics analysis of behavioural portfolio theory in the Markowitz portfolio theory framework

Mittal, Saksham; Bhattacharya, Sujoy; Mandal, Satrajit - In: Managerial finance 48 (2022) 2, pp. 277-288

Persistent link: https://www.econbiz.de/10013173292

Dynamic mean-variance problem with frictions

Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, … - In: Finance and stochastics 26 (2022) 2, pp. 267-300

Persistent link: https://www.econbiz.de/10013197583

A combinatorial optimization approach to scenario filtering in portfolio selection

Puerto, Justo; Ricca, Federica; Rodríguez-Madrena, Moisés - In: Computers & operations research : and their … 142 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013197730

On mean-variance analysis of a bank's behavior

Takino, Kazuhiro; Ishinagi, Yoshikazu - In: Finance research letters 46 (2022) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10013341401

Sourcing decision under interconnected risks : an application of mean-variance preferences approach

Mukherjee, Soumyatanu; Padhi, Sidhartha S. - In: Risk management decisions and value under uncertainty, (pp. 1243-1268). 2022

Persistent link: https://www.econbiz.de/10013342114