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  • Search: subject:"Mean–variance criterion"
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Year of publication
Subject
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Portfolio selection 30 Portfolio-Management 30 Mean-variance criterion 23 Theorie 19 Theory 19 Reinsurance 11 Rückversicherung 11 Stochastic process 11 Stochastischer Prozess 11 Option pricing theory 6 Optionspreistheorie 6 Time consistency 6 Zeitkonsistenz 5 mean-variance criterion 5 Efficient frontier 4 Equilibrium strategy 4 Hedging 4 Mean–variance criterion 4 Risiko 4 Risikoaversion 4 Risikomodell 4 Risk 4 Risk aversion 4 Risk model 4 Analysis 3 Backward stochastic differential equation 3 Insurer 3 Mathematical analysis 3 Mathematical programming 3 Mathematische Optimierung 3 Optimal Asset Allocation 3 Pension fund 3 Pensionskasse 3 Stochastic control 3 Time inconsistency 3 Time-consistent strategy 3 VIX Futures 3 Volatility 3 Volatilität 3 Altersvorsorge 2
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Online availability
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Undetermined 33 Free 4
Type of publication
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Article 37 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 31 Aufsatz in Zeitschrift 31 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 32 Undetermined 10
Author
All
Zeng, Yan 8 Li, Danping 7 Li, Bin 4 Zhao, Hui 4 Alexander, Carol 3 Bi, Junna 3 Korovilas, Dimitris 3 Li, Zhongfei 3 Rong, Ximin 3 Shen, Yang 3 Yuen, Kam Chuen 3 Lai, Yongzeng 2 Liang, Zhibin 2 Sotirov, Renata 2 Sun, Zhongyang 2 Young, Virginia R. 2 Alia, Ishak 1 Avinadav, Tal 1 Bangur, Peeyush 1 COHEN, ALLON 1 Cai, Jun 1 Cao, Jingyi 1 Chang, Hao 1 Chen, Jiachen 1 Chen, Zhiping 1 Chernonog, Tatyana 1 Chighoub, Farid 1 Czichowsky, Christoph 1 Eini, Esmat Jamshidi 1 Gu, Ailing 1 Guan, Guohui 1 Guo, Junyi 1 Guo, Xianping 1 Hajiagha, Seyed Hossein Razavi 1 Hashemi, Shide Sadat 1 Jiang, Wenjun 1 Khaloozadeh, Hamid 1 LEVY, HAIM 1 Landriault, David 1 Li, Dongchen 1
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Institution
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Henley Business School, University of Reading 2 Tilburg University, Center for Economic Research 1 University of Bonn, Germany 1
Published in...
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Insurance / Mathematics & economics 17 Mathematical methods of operations research 3 ICMA Centre Discussion Papers in Finance 2 Insurance: Mathematics and Economics 2 Journal of economic dynamics & control 2 Annals of Financial Economics (AFE) 1 Applied economics 1 Computational Optimization and Applications 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Paper Serie B 1 Discussion paper / ICMA Centre, Henley Business School, University of Reading 1 Economic modelling 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Finance and Stochastics 1 IMA journal of management mathematics 1 Modern economy 1 Omega : the international journal of management science 1 RAIRO / Operations research 1 Scandinavian actuarial journal 1 The journal of investment strategies 1
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Source
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ECONIS (ZBW) 32 RePEc 10
Showing 21 - 30 of 42
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Mergers and acquisitions between risk-averse parties
Avinadav, Tal; Chernonog, Tatyana; Perlman, Yael - In: European journal of operational research : EJOR 259 (2017) 3, pp. 926-934
Persistent link: https://www.econbiz.de/10011695354
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Optimality of excess-loss reinsurance under a mean-variance criterion
Li, Danping; Li, Dongchen; Young, Virginia R. - In: Insurance / Mathematics & economics 75 (2017), pp. 82-89
Persistent link: https://www.econbiz.de/10011740728
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The Hazards of Volatility Diversification
Alexander, Carol; Korovilas, Dimitris - Henley Business School, University of Reading - 2011
Recent research advocates volatility diversification for long equity investors. It can even be justified when short-term expected returns are highly negative, but only when its equilibrium return is ignored. Its advantages during stock market crises are clear but we show that the high...
Persistent link: https://www.econbiz.de/10010838049
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A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
Alia, Ishak; Chighoub, Farid; Sohail, Ayesha - In: Insurance / Mathematics & economics 68 (2016), pp. 212-223
Persistent link: https://www.econbiz.de/10011493837
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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin - In: Mathematical methods of operations research 84 (2016) 1, pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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Alpha-robust mean-variance reinsurance-investment strategy
Li, Bin; Li, Danping; Xiong, Dewen - In: Journal of economic dynamics & control 70 (2016), pp. 101-123
Persistent link: https://www.econbiz.de/10011708658
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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Sun, Jingyun; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 158-172
Persistent link: https://www.econbiz.de/10011457232
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A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection
Sotirov, Renata; Takano, Y. - Tilburg University, Center for Economic Research - 2010
formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high …
Persistent link: https://www.econbiz.de/10011092875
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Which is a better investment choice in the Hong Kong residential property market : a big or small property?
Qiao, Zhuo; Wong, Wing Keung - In: Applied economics 47 (2015) 16/18, pp. 1670-1685
Persistent link: https://www.econbiz.de/10010511996
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