Search Results - subject:"Mean–variance"

Risk-efficient coverage selection strategies for the Pasture, Rangeland, Forage (PRF) Insurance Program

Zapata, Samuel D.; García, José María - In: Journal of agricultural and applied economics : JAEE 54 (2022) 2, pp. 286-305

Persistent link: https://www.econbiz.de/10013341854

A proposal for measuring efficiency losses of asset management companies : frontier-based approach

Aygören, Hakan; Uyar, Umut; Kelten, Göksal Selahatdin - In: Borsa Istanbul Review 22 (2022) 5, pp. 925-938

this study, we propose a continuous approach to compare the performance of funds by taking advantage of the mean-variance …

Persistent link: https://www.econbiz.de/10013426710

Deep Quadratic Hedging

Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena - 2022

Persistent link: https://www.econbiz.de/10013535748

Estimation of optimal portfolio compositions for small sample and singular covariance matrix

Bodnar, Taras; Mazur, Stepan; Nguyen, Hoang - 2022

In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...

Persistent link: https://www.econbiz.de/10013469613

Stackelberg differential game for reinsurance : mean-variance framework and random horizon

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 102 (2022), pp. 42-55

Persistent link: https://www.econbiz.de/10013271955

Equivalent expectation measures for risk and return analysis of contingent claims

Nawalkha, Sanjay K.; Zhuo, Xiaoyang - In: Journal of investment management : JOIM 22 (2024) 3, pp. 23-36

Persistent link: https://www.econbiz.de/10015198702

Tail mean-variance portfolio selection with estimation risk

Huang, Zhenzhen; Wei, Pengyu; Weng, Chengguo - In: Insurance : mathematics and economics 116 (2024), pp. 218-234

Persistent link: https://www.econbiz.de/10015066806

Portfolio allocation with dynamic risk preferences via reinforcement learning

Chen, Ting-Fu; Kuang, Xian-Ji; Liao, Szu-Lang; Lin, … - In: Computational economics 64 (2024) 4, pp. 2033-2052

Persistent link: https://www.econbiz.de/10015143990

The risk of expected utility under parameter uncertainty

Lassance, Nathan; Martín-Utrera, Alberto; Simaan, Majeed - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7644-7663

Persistent link: https://www.econbiz.de/10015144289

Non-zero-sum investment-reinsurance game with delay and ambiguity aversion

He, Yong; Luouyang, Xueqi; He, Lin; Chen, Haiyan; Li, Sheng - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014580776