Search Results - subject:"Mean–variance criteria"

Shrinking the variance-covariance matrix : simpler is better

Husnain, Muhammad; Hassan, Arshad; Lamarque, Eric - In: The Lahore journal of economics 21 (2016) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011532772

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Reveiz, Alejandro; León, Carlos Eduardo - BANCO DE LA REPÚBLICA - 2008

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...

Persistent link: https://www.econbiz.de/10005768099

Mean–variance asset–liability management with asset correlation risk and insurance liabilities

Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 300-310

Consider an insurer who invests in the financial market where correlations among risky asset returns are randomly changing over time. The insurer who faces the risk of paying stochastic insurance claims needs to manage her asset and liability by taking into account of the correlation risk. This...

Persistent link: https://www.econbiz.de/10011116653

Mean-variance asset-liability management with asset correlation risk and insurance liabilities

Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 59 (2014), pp. 300-310

Persistent link: https://www.econbiz.de/10010469984

An Analysis of Reinsurance Optimisation in Life

Veprauskaite, Elena; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2012

the modified mean-variance criteria to assess the optimal reinsurance strategy. The analysis takes into account recent … insurer. The objective is to determine the reinsurance structure, based on actual insurer data, using a modified mean-variance … criteria that maximises the retained premiums and minimizes the variance of retained claims while keeping the retained risk …

Persistent link: https://www.econbiz.de/10010551701

Log Mean-Variance Portfolio Selection Under Regime Switching

Ishijima, Hiroshi; Uchida, Masaki - In: Asia-Pacific Financial Markets 18 (2011) 2, pp. 213-229

Persistent link: https://www.econbiz.de/10009150531

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Reveiz, Alejandro; León, Carlos - Banco de la Republica de Colombia

Persistent link: https://www.econbiz.de/10005274517