Search Results - subject:"Mean–variance"

An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors

Cardinali, Alessandro - In: International Econometric Review (IER) 4 (2012) 1, pp. 1-16

In this paper a comparative study is conducted to evaluate the out-of-sample performance of mean-variance portfolios …

Persistent link: https://www.econbiz.de/10010684135

Auctioning risk: The all-pay auction under mean-variance preferences

Klose, Bettina; Schweinzer, Paul - Department of Economics and Related Studies, University … - 2012

We develop the idea of using mean-variance preferences for the analysis of the first-price, all-pay auction. On the … bidding side, we characterise the optimal strategy in symmetric allpay auctions under mean-variance preferences for general … variance-averse type bids always higher than her less variance-averse counterpart. Taking mean-variance bidding behaviour as …

Persistent link: https://www.econbiz.de/10010630691

An Alternative Explanation for the Variation in Reported Estimates of Risk Aversion

Conniffe, Denis; O'Neill, Donal - Institute for the Study of Labor (IZA) - 2012

equating these to risk aversion measures defined in a mean-variance framework. This paper shows that while the legitimacy of … the mean-variance approach may hold under general conditions the additional assumptions invoked when estimating the risk …

Persistent link: https://www.econbiz.de/10010705565

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - Centre for Microdata Methods and Practice (CEMMAP) - 2012

In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) variances for asset portfolio returns, and the set of...

Persistent link: https://www.econbiz.de/10010604307

Mean Reversion in Stock Prices: Implications for Long-Term Investors

Spierdijk, L.; Bikker, J.A. - School of Economics, Universiteit Utrecht - 2012

with long investment horizons. Next, we consider a mean-variance efficient investor and show how mean reversion in stock …

Persistent link: https://www.econbiz.de/10011213547

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - 2012

Persistent link: https://www.econbiz.de/10009692023

Diversification of equity with VIX futures : personal views and skewness preference

Alexander, Carol; Korovilas, Dimitris - 2012

Persistent link: https://www.econbiz.de/10009520567

Second order of stochastic dominance efficiency vs mean variance efficiency

Malavasi, Matteo; Ortobelli Lozza, Sergio; Trück, Stefan - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1192-1206

Persistent link: https://www.econbiz.de/10012495268

The VIX and future information

Hess, Markus - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-30

Persistent link: https://www.econbiz.de/10012807884

MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN

MARKOWITZ, HARRY - In: Annals of Financial Economics (AFE) 07 (2012) 01, pp. 1250001-1

This paper uses two databases to test the ability of six functions of arithmetic mean and variance to approximate geometric mean return or, equivalently, Bernoulli's expected log utility. The two databases are: (1) a database of returns on frequently used asset classes, and (2) that of real...

Persistent link: https://www.econbiz.de/10010699491