. We propose a static, non-convex optimization model combining the classic peak load pricing model with elements of mean-variance …

This paper takes a minimax regression approach to incorporate aversion to parameter uncertainty into the mean-variance … model. The uncertainty-averse minimax mean-variance portfolio is obtained by minimizing with respect to the unknown weights … methodology offers three main advantages: first, the resulting optimal portfolio can be interpreted as a Bayesian mean-variance …

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is …

's efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance … from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency … equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zerobeta CAPM. …