Search Results - subject:"Mean–variance"

Hulley, Hardy; McWalter, Thomas A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 83-102

-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and … variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple …

Persistent link: https://www.econbiz.de/10011552886

Seleção de carteiras ótimas sob restrições nas normas dos vetores de alocação : uma avaliação empírica com dados da BM&FBovespa

Naibert, Paulo F.; Caldeira, João F. - In: Revista Brasileira de Finanças : RBFin 13 (2015) 3, pp. 504-543

Persistent link: https://www.econbiz.de/10011585636

Revealed preferences for portfolio selection - does skewness matter?

Liechty, Merrill W.; Sağlam, Ümit - In: Applied economics letters 24 (2017) 13/15, pp. 968-971

Persistent link: https://www.econbiz.de/10011715170

Mean-variance utility

Nakamura, Yutaka - In: Journal of economic theory 160 (2015), pp. 536-556

Persistent link: https://www.econbiz.de/10011549547

Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints

Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations Research Perspectives 6 (2019), pp. 1-15

-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean …

Persistent link: https://www.econbiz.de/10012662764

Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints

Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations research perspectives 6 (2019), pp. 1-15

-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean …

Persistent link: https://www.econbiz.de/10012029423

A linear programming model for selection of sparse high-dimensional multiperiod portfolios

Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771

Persistent link: https://www.econbiz.de/10011987586

Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10011990589

Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers

Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114

Persistent link: https://www.econbiz.de/10011990618

An analysis of transaction costs in participating life insurance under mean-variance preferences

Gatzert, Nadine - In: Insurance / Mathematics & economics 85 (2019), pp. 185-197

Persistent link: https://www.econbiz.de/10011990634

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