Search Results - subject:"Mean–variance analysis"

On the Economic Evaluation of Volatility Forecasts

Voev, Valeri - School of Economics and Management, University of Aarhus - 2009

We analyze the applicability of economic criteria for volatility forecast evaluation based on unconditional measures of portfolio performance. The main theoretical finding is that such unconditional measures generally fail to rank conditional forecasts correctly due to the presence of a bias...

Persistent link: https://www.econbiz.de/10008491711

An institutional evaluation of pension funds and life insurance companies

Broeders, Dirk; Chen, An; Koos, Birgit - de Nederlandsche Bank - 2009

contract specifications and in regulatory regimes. Mean-variance analysis is conducted to determine annuity choices of …

Persistent link: https://www.econbiz.de/10008522674

Return Expectations and Risk Aversion Heterogeneity in Household Portfolios

Bucciol, Alessandro; Miniaci, Raffaele; Pastorello, Sergio - Dipartimento di Scienze Economiche, Facoltà di Economia - 2015

We develop a structural econometric model to elicit household-specific expectations about future financial asset returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk. Our framework assumes that household portfolios are...

Persistent link: https://www.econbiz.de/10011119969

A theoretical foundation of portfolio resampling

Frahm, Gabriel - In: Theory and decision : an international journal for … 79 (2015) 1, pp. 107-132

Persistent link: https://www.econbiz.de/10011485370

Sparse and stable portfolio selection with parameter uncertainty

Li, Jiahan - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 381-392

Persistent link: https://www.econbiz.de/10011390391

Does mean-variance portfoliomanagement deserve expected utility's approximative affirmation?

Loistl, Otto - In: European journal of operational research : EJOR 247 (2015) 2, pp. 676-680

Persistent link: https://www.econbiz.de/10011375808

Mean-variance utility

Nakamura, Yutaka - In: Journal of economic theory 160 (2015), pp. 536-556

Persistent link: https://www.econbiz.de/10011549547

Risk implications of renewable support instruments: Comparative analysis of feed-in tariffs and premiums using a mean–variance approach

Kitzing, Lena - In: Energy 64 (2014) C, pp. 495-505

support instruments: feed-in tariffs and feed-in premiums. Using cash flow analysis, Monte Carlo simulations and mean–variance … analysis, we quantify risk-return relationships for an exemplary offshore wind park in a simplified setting. We show that feed …

Persistent link: https://www.econbiz.de/10010809684

Mean–variance approximations to expected utility

Markowitz, Harry - In: European Journal of Operational Research 234 (2014) 2, pp. 346-355

It is often asserted that the application of mean–variance analysis assumes normal (Gaussian) return distributions or … necessary and sufficient condition for the practical use of mean–variance analysis is that a careful choice from a mean … field have been generally supportive of mean–variance analysis, subject to certain (initially unanticipated) caveats. …

Persistent link: https://www.econbiz.de/10010871114

The benefits of differential variance-based constraints in portfolio optimization

Levy, Haim; Levy, Moshe - In: European Journal of Operational Research 234 (2014) 2, pp. 372-381

The main problem of portfolio optimization is parameter estimation error. Various methods have been suggested to mitigate this problem, among which are shrinkage, resampling, Bayesian updating, naïve diversification, and imposing constraints on the portfolio weights. This study suggests two...

Persistent link: https://www.econbiz.de/10011052537