ex ante within a mean-variance framework, where leverage control is imposed using a chance constraint. The resulting mean-variance … outperformance of the proposed model relative to the standard mean-variance model. Increased target means require less restrictions …

-term vanilla call option can be used for efficient hedging. Using a mean-variance hedging approach, we calculate optimal hedge …

currency risk via so-called currency overlay strategies. In our setting, a classical mean-variance problem in an international …

Markowitz mean-variance (MV) model for optimal portfolio construction. Specifically, this study first applies a prediction …

Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the …

This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two …

and in particular mean-variance (MV) preferences. We find that, in the US, PT portfolios significantly outperform (in … terms of returns) mean-variance portfolios in the majority of cases. Also with respect to riskadjusted performance, PT …

In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as … maximum portfolios in terms of risk. Moreover, we find that both the mean-variance and the semi-variance measures of risk … relatively higher returns and risks using the mean-variance than the semi-variance approach. The low beta of individual stock …