Search Results - subject:"Mean–variance analysis"

Costs for conventional and renewable fuels and electricity in the worldwide transport sector: A mean–variance portfolio approach

Guerrero-Lemus, Ricardo; Marrero, Gustavo A.; Puch, Luis A. - In: Energy 44 (2012) 1, pp. 178-188

In this paper we analyze the role of changes in the fuel mix on emissions reduction and the diversification of risks associated to rising prices of energy. To this purpose we evaluate the average cost and the cost volatility of alternative fuel combinations in the road transport sector by means...

Persistent link: https://www.econbiz.de/10011055624

Characteristic-based mean-variance portfolio choice

Hjalmarsson, Erik; Manchev, Petar - In: Journal of Banking & Finance 36 (2012) 5, pp. 1392-1401

that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single … better, than the direct estimation approach, highlighting again the difficulties in beating the equal-weighted case in mean-variance … analysis. The empirical results also highlight the potential for ‘stock-picking’ in international indexes using characteristics …

Persistent link: https://www.econbiz.de/10010578005

Mean-downside-risk and mean-variance newsvendor models: Implications for sustainable fashion retailing

Choi, Tsan-Ming; Chiu, Chun-Hung - In: International Journal of Production Economics 135 (2012) 2, pp. 552-560

Newsvendor models have been well-established for studying supply chain management problems with fashionable products. In this paper, we explore the mean-downside-risk (MDR) and mean-variance (MV) newsvendor models under both the exogenous and endogenous retail price decision cases. We first...

Persistent link: https://www.econbiz.de/10010572552

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

Return expectations and risk aversion heterogeneity in household portfolios

Bucciol, Alessandro; Miniaci, Raffaele; Pastorello, Sergio - In: Journal of empirical finance 40 (2017), pp. 201-219

Persistent link: https://www.econbiz.de/10011745022

Stochastic Optimal Control Modeling of Debt Crises

Stein, Jerome L. - 2003

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...

Persistent link: https://www.econbiz.de/10010315962

Stochastic Optimal Control Modeling of Debt Crises

Stein, Jerome L. - CESifo - 2003

Persistent link: https://www.econbiz.de/10005765856

Stochastic optimal control modeling of debt crises

Stein, Jerome L. - 2003

Persistent link: https://www.econbiz.de/10011509487

Do heterogeneous beliefs diversify market risk?

Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: The European Journal of Finance 17 (2011) 3, pp. 241-258

It is believed that diversity is good for our society, but is it good for financial markets? In particular, does the diversity with respect to beliefs among investors reduce the market risk of risky assets? The current paper aims to answer this question. Within the standard mean-variance...

Persistent link: https://www.econbiz.de/10009276887

The diversification effects of volatility-related assets

Chen, Hsuan-Chi; Chung, San-Lin; Ho, Keng-Yu - In: Journal of Banking & Finance 35 (2011) 5, pp. 1179-1189

We examine whether investors can improve their investment opportunity sets through the addition of volatility-related assets into various groupings of benchmark portfolios. By first analyzing the weekly returns of three VIX-related assets over the period 1996-2008 and then applying mean-variance...

Persistent link: https://www.econbiz.de/10008864623