Search Results - subject:"Mean–variance"

Can volatility solve the naive portfolio puzzle?

Curran, Michael; O'Sullivan, Patrick; Zalla, Ryan - In: Quantitative finance 23 (2023) 11, pp. 1545-1560

Persistent link: https://www.econbiz.de/10014419177

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023

Persistent link: https://www.econbiz.de/10014336459

An integrated CRITIC and Grey Relational Analysis approach for investment portfolio selection

Silva, Natan Felipe; Santos, Marcos dos; Gomes, Carlos … - In: Decision analytics journal 8 (2023), pp. 1-8

into an optimization model, applying mean-variance analysis to define the investment weights. The results were then …

Persistent link: https://www.econbiz.de/10014517043

Unifying portfolio diversification measures using Rao's quadratic entropy

Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - In: Journal of quantitative economics 21 (2023) 4, pp. 769-802

Persistent link: https://www.econbiz.de/10014518461

Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate

Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 123-152

Persistent link: https://www.econbiz.de/10014325034

Expected mean return : standard deviation efficient frontier approximation with low-cardinality portfolios in the presence of the risk-free asset

Juszczuk, Przemysław; Kaliszewski, Ignacy; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2395-2414

Persistent link: https://www.econbiz.de/10014259184

Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm

Lorenzo, Luis; Arroyo, Javier - In: Financial innovation : FIN 9 (2023) 1, pp. 1-40

Mean-variance portfolio optimization models are sensitive to uncertainty in risk-return estimates, which may result in …, where there are hundreds of crypto assets that have been traded for a few years. We propose enhancing the mean-variance (MV …

Persistent link: https://www.econbiz.de/10014288940

Moral-hazard-free insurance : mean-variance premium principle and rank-dependent utility theory

Xu, Zuo Quan - In: Scandinavian actuarial journal 2023 (2023) 3, pp. 269-289

Persistent link: https://www.econbiz.de/10014336334

Market timing and predictability in FX markets

Maurer, Thomas; To, Thuy Duong; Tran, Ngoc-Khanh - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 223-246

Persistent link: https://www.econbiz.de/10013543159

Large-scale portfolio optimization using biogeography-based optimization

Wijaya, Wendy; Sidarto, Kuntjoro Adji - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-16

Digital credit has gained much attention from academic researchers, practitioners, and policymakers worldwide. This study empirically evaluates the determinants of digital credit using cross-country data from 2013 to 2019. The conventional ordinary least square regression with fixed effects...

Persistent link: https://www.econbiz.de/10014484201