Search Results - subject:"Mean–variance analysis"

Beyond the local mean-variance analysis in continuous time: The problem of non-normality

Aase, Knut K.; Lillestøl, Jostein - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015

The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...

Persistent link: https://www.econbiz.de/10011185411

The optimal allocation of current assets using mean-variance analysis

Kolias, Georgios; Arnis, Nikolaos - In: Journal of accounting & management information systems … 18 (2019) 1, pp. 50-72

Persistent link: https://www.econbiz.de/10012098758

An examination of the benefits of factor investing in U.K. stock returns

Fletcher, Jonathan - In: International journal of economics and finance 10 (2018) 4, pp. 154-170

Persistent link: https://www.econbiz.de/10011860918

Optimal advertising budget allocation in luxury fashion markets with social influences : a mean-variance analysis

Chiu, Chun-Hung; Choi, Tsan-Ming; Dai, Xin; Shen, Bin; … - In: Production and operations management : the flagship … 27 (2018) 8, pp. 1611-1629

Persistent link: https://www.econbiz.de/10011969958

Integrated commodity inventory management and financial hedging : a dynamic mean-variance analysis

Kouvelis, Panos; Pang, Zhan; Ding, Qing - In: Production and operations management : the flagship … 27 (2018) 6, pp. 1052-1073

Persistent link: https://www.econbiz.de/10011969988

Performance of active and passive management of Slovak's pension funds in return-risk space

Dluhoš, Martin - In: International journal of trade and global markets 11 (2018) 4, pp. 306-322

Persistent link: https://www.econbiz.de/10011999113

Portfolio selection using new factors based on firm characteristics

Suh, Sangwon - In: Journal of economic development 43 (2018) 1, pp. 77-99

Persistent link: https://www.econbiz.de/10011844740

Direct data-based decision making under uncertainty

Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 267 (2018) 1, pp. 200-211

Persistent link: https://www.econbiz.de/10011812399

Naive versus optimal diversification : tail risk and performance

Hwanga, Inchang; Xu, Simon; In, Francis - In: European journal of operational research : EJOR 265 (2018) 1, pp. 372-388

Persistent link: https://www.econbiz.de/10011805506

Decision theory matters for financial advice

Hens, Thorsten; Mayer, János - In: Computational economics 52 (2018) 1, pp. 195-226

Persistent link: https://www.econbiz.de/10012052929