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  • Search: subject:"Mean–variance"
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Year of publication
Subject
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Portfolio selection 625 Portfolio-Management 619 Theorie 447 Theory 437 CAPM 159 Kapitaleinkommen 134 Capital income 133 Mathematical programming 118 Mathematische Optimierung 118 Risk 116 Risiko 114 Stochastic process 95 Stochastischer Prozess 95 Hedging 82 Mean-variance 78 mean-variance 66 Schätztheorie 64 Estimation theory 62 Anlageverhalten 61 Behavioural finance 61 Risk aversion 61 Volatility 61 Risikoaversion 59 Volatilität 55 Mean-variance analysis 54 Optionspreistheorie 53 Option pricing theory 52 Schätzung 48 mean-variance analysis 48 Estimation 47 Risikomanagement 47 Risk management 47 Correlation 44 Risikomaß 44 Expected utility 43 Korrelation 43 Risk measure 43 Time consistency 41 Diversification 40 Zeitkonsistenz 38
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Online availability
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Undetermined 637 Free 426 CC license 23
Type of publication
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Article 905 Book / Working Paper 365 Other 4
Type of publication (narrower categories)
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Article in journal 605 Aufsatz in Zeitschrift 605 Working Paper 133 Arbeitspapier 80 Graue Literatur 79 Non-commercial literature 79 Article 30 Aufsatz im Buch 10 Book section 10 Thesis 6 research-article 5 Conference paper 4 Konferenzbeitrag 4 Hochschulschrift 3 review-article 2 Lehrbuch 1
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Language
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English 867 Undetermined 390 German 11 French 4 Indonesian 1 Portuguese 1 Spanish 1
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Author
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Zeng, Yan 16 Kerstens, Kristiaan 15 Yao, Haixiang 15 Fabozzi, Frank J. 14 Wong, Wing-Keung 14 Wong, Hoi Ying 13 Wong, Wing Keung 12 Ledoit, Olivier 11 Li, Xun 11 Weber, Christoph 11 Cui, Xiangyu 10 Li, Danping 10 McAleer, Michael 10 Schweizer, Martin 10 Shen, Yang 10 Drut, Bastien 9 Forsyth, Peter 9 Li, Duan 9 Li, Zhongfei 9 Beaulieu, Marie-Claude 8 Bodnar, Taras 8 Briec, Walter 8 Chen, Ping 8 Dufour, Jean-Marie 8 Khalaf, Lynda 8 Kim, Woo Chang 8 Van de Woestyne, Ignace 8 Young, Virginia R. 8 Broll, Udo 7 Fletcher, Jonathan 7 Galvani, Valentina 7 Hlouskova, Jaroslava 7 Liang, Zhibin 7 Mazur, Stepan 7 Wu, Huiling 7 BEAULIEU, Marie-Claude 6 Chernozhukov, Victor 6 Chiu, Mei Choi 6 Choi, Tsan-Ming 6 Christiansen, Charlotte 6
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 11 C.E.P.R. Discussion Papers 7 Collegio Carlo Alberto, Università degli Studi di Torino 6 Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel) 6 Henley Business School, University of Reading 6 Finance Discipline Group, Business School 5 School of Economics and Management, University of Aarhus 5 University of Bonn, Germany 5 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 4 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 4 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 4 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 4 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 4 HAL 4 IÉSEG School of Management, Université Catholique de Lille 4 Tilburg University, Center for Economic Research 4 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 3 Department of Economics and Business, Universitat Pompeu Fabra 3 Department of Economics, University of Alberta 3 Département de Sciences Économiques, Université de Montréal 3 EconWPA 3 European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ. 3 Fachbereich Wirtschaftswissenschaften, Universität Duisburg-Essen 3 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 3 Fakultät Wirtschaftswissenschaften, Technische Universität Dresden 3 London School of Economics (LSE) 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 3 Tinbergen Instituut 3 Université Paris-Dauphine (Paris IX) 3 CESifo 2 Departamento de Economía, Universidad Carlos III de Madrid 2 Department of Economics and Finance, College of Business and Economics 2 Department of Economics, City University 2 Department of Economics, University of Connecticut 2 Department of Economics, University of Crete 2 Dipartimento di Scienze Economiche, Facoltà di Economia 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 2 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 2 Institute for the Study of Labor (IZA) 2
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Published in...
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Insurance / Mathematics & economics 53 European journal of operational research : EJOR 46 Finance research letters 26 European Journal of Operational Research 22 Management Science 20 Quantitative finance 19 Insurance: Mathematics and Economics 17 International journal of theoretical and applied finance 15 Economic modelling 13 Working Paper 13 Journal of Risk and Financial Management 11 Journal of investment management : JOIM 11 MPRA Paper 11 International Journal of Theoretical and Applied Finance (IJTAF) 10 Research paper series / Swiss Finance Institute 10 Scandinavian actuarial journal 10 Journal of economic dynamics & control 9 Journal of risk and financial management : JRFM 9 Operations research letters 9 International journal of financial engineering 8 Journal of banking & finance 8 CEPR Discussion Papers 7 Cahiers de recherche 7 Finance and Stochastics 7 Finance and stochastics 7 Journal of mathematical finance 7 Applied economics 6 Applied mathematical finance 6 Carlo Alberto Notebooks 6 Dresden Discussion Paper Series in Economics 6 ICMA Centre Discussion Papers in Finance 6 International journal of production economics 6 International review of financial analysis 6 Journal of Agricultural and Applied Economics 6 Journal of empirical finance 6 Management science : journal of the Institute for Operations Research and the Management Sciences 6 Mathematical methods of operations research 6 Mathematics and financial economics 6 Risks 6 The European journal of finance 6
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Source
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ECONIS (ZBW) 705 RePEc 466 EconStor 83 BASE 11 Other ZBW resources 9
Showing 641 - 650 of 1,274
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From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
Riccetti, Luca - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2010
models the weights using moments, co-moments and the mean-variance weights. I also use the moments and co-moments of the …
Persistent link: https://www.econbiz.de/10008752146
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Finance and diversification
Manganelli, Simone; Popov, Alexander - European Central Bank - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...
Persistent link: https://www.econbiz.de/10008679924
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On efficiency of mean-variance based portfolio selection in DC pension schemes
Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2010
solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show … portfolios that are efficient in the mean-variance setting. We address the issue of comparison between an efficient portfolio and … but not trivial results that the mean-variance inefficiency decreases with the risk aversion of the individual and …
Persistent link: https://www.econbiz.de/10008682809
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Mean-Variance & Mean-VaR Portfolio Selection: A Simulation Based Comparison in the Czech Crisis Environment
Parrák, Radovan; Seidler, Jakub - Institut ekonomických studií, Univerzita Karlova v Praze - 2010
This paper focuses on two methods for optimum portfolio selection. We compare Mean-Variance method with Mean-VaR method …
Persistent link: https://www.econbiz.de/10008694965
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Optimal Execution of Multiasset Block Orders under Stochastic Liquidity
Makimoto, Naoki; Sugihara, Yoshihiko - Institute for Monetary and Economic Studies, Bank of Japan - 2010
strategy as a closed-form solution to the mean-variance problem that optimizes the trade-off between the market impact and the …
Persistent link: https://www.econbiz.de/10008725883
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A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens
Eptas, Alexander; Leger, Lawrence A. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 97-117
We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial …
Persistent link: https://www.econbiz.de/10010699154
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Mean-variance & mean-VaR portfolio selection: A simulation based comparison in the Czech crisis environment
Parrák, Radovan; Seidler, Jakub - 2010
This paper focuses on two methods for optimum portfolio selection. We compare Mean-Variance method with Mean-VaR method …
Persistent link: https://www.econbiz.de/10010322278
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Cover Image
Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...
Persistent link: https://www.econbiz.de/10011605305
Saved in:
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The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts
Varneskov, Rasmus Tangsgaard; Voev, Valeri - School of Economics and Management, University of Aarhus - 2010
Recently, consistent measures of the ex-post covariation of financial assets based on noisy high-frequency data have been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data based covariance measures. The aim of this paper is to...
Persistent link: https://www.econbiz.de/10008462028
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Mean-Variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework
Pressacco, Flavio; Serafini, Paolo; Ziani, Laura - HAL - 2010
The paper concerns optimal mean-variance proportional reinsurance under group correlation. In order to solve the … to express the efficient mean-variance retention set both in the retention space and in the mean-variance one. …
Persistent link: https://www.econbiz.de/10008794793
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