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  • Search: subject:"Mean–variance efficiency"
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Year of publication
Subject
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mean-variance efficiency 38 CAPM 24 Portfolio selection 24 Portfolio-Management 23 Mean-variance efficiency 22 Theorie 15 exact test 14 Theory 13 multivariate linear regression 13 Monte Carlo test 11 uniform linear hypothesis 11 diagnostics 9 non-normality 9 GARCH 8 capital asset pricing model 8 Capital income 7 Kapitaleinkommen 7 Schätztheorie 7 Schätzung 7 multivariate GARCH 7 Estimation 6 Estimation theory 6 bootstrap 6 nuisance parameters 6 portfolio selection 6 specification test 6 variance ratio test 6 ARCH model 5 ARCH-Modell 5 Correlation 5 Covariance matrix estimation 5 Korrelation 5 Portfolio Selection 5 Statistischer Test 5 nonnormality 5 transaction costs 5 DCC 4 Diversification 4 Diversifikation 4 Dynamische Optimierung 4
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Online availability
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Free 46 Undetermined 20 CC license 2
Type of publication
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Book / Working Paper 48 Article 33
Type of publication (narrower categories)
All
Article in journal 15 Aufsatz in Zeitschrift 15 Working Paper 15 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article 2 research-article 2 Aufsatz im Buch 1 Book section 1
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Language
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English 43 Undetermined 35 French 3
Author
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Ledoit, Olivier 9 Beaulieu, Marie-Claude 8 Dufour, Jean-Marie 8 Khalaf, Lynda 8 Drut, Bastien 7 BEAULIEU, Marie-Claude 6 DUFOUR, Jean-Marie 6 KHALAF, Lynda 5 Wolf, Michael 5 Jiang, Hui 4 Zhao, Zhao 4 Liang, Zongxia 3 Manganelli, Simone 3 Mignon, Valérie 3 Popov, Alexander 3 Szafarz, Ariane 3 Wu, Hongwen 3 An, Yunbi 2 Brière, Marie 2 Cademártori Rosso, David 2 Curci, Roberto 2 Edirisinghe, Chanaka 2 Galea, Manuel 2 Gay, Roger 2 Gould, John 2 Guan, Guohui 2 Jeong, Jaehwan 2 Jiang, Chonghui 2 Jong, Marielle de 2 Ma, Yongkai 2 Molina, Alonso 2 Oosterlinck, Kim 2 Reiss, Ariane 2 Aggarwal, Navdeep 1 Akhtar, Shumi 1 Bikker, J.A. 1 Boot, Arnoud W A 1 Briere, Marie 1 Castillo-Spíndola, Jorge H. del 1 Chen, Gang 1
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 4 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 3 Département de Sciences Économiques, Université de Montréal 3 European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ. 3 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 2 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 2 Department of Accounting, Finance and Economics, Griffith Business School 1 Department of Economics, University of California-San Diego (UCSD) 1 Deutsche Bundesbank 1 EconWPA 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 European Central Bank 1 Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel) 1 Finance Discipline Group, Business School 1 HAL 1 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 1 School of Economics, Universiteit Utrecht 1 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1 Tilburg University, Center for Economic Research 1 Université Paris-Dauphine (Paris IX) 1 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 1
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Published in...
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Cahiers de recherche 6 Working Paper 5 CIRANO Working Papers 4 Working paper series / University of Zurich, Department of Economics 4 CEPR Financial Markets Paper 3 EconomiX Working Papers 2 Insurance / Mathematics & economics 2 Journal of Risk and Financial Management 2 Journal of banking & finance 2 Journal of risk and financial management : JRFM 2 Managerial Finance 2 Tübinger Diskussionsbeiträge 2 Working Papers CEB 2 APSTRACT: Applied Studies in Agribusiness and Commerce 1 Accounting and finance : journal of the Accounting Association of Australia and New Zealand 1 Asia-Pacific journal of management research and innovation : APJMRI 1 Bulletin of the Czech Econometric Society 1 Department of Economics, Working Paper Series 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Discussion Papers in Finance 1 Discussion paper / Deutsche Bundesbank 1 Discussion papers / CEPR 1 ECB Working Paper 1 ERIM Report Series Research in Management 1 Economics Papers from University Paris Dauphine 1 Estudios Económicos 1 Finance 1 Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4 1 Insurance: Mathematics and Economics 1 International journal of financial research 1 Journal of Agricultural and Resource Economics 1 Journal of Banking & Finance 1 Journal of Business Ethics 1 Journal of International Money and Finance 1 Journal of Risk Finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of empirical finance 1 Journal of international economics 1
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Source
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RePEc 46 ECONIS (ZBW) 23 EconStor 10 Other ZBW resources 2
Showing 31 - 40 of 81
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Sovereign Bonds and Socially Responsible Investment
Drut, Bastien - Centre Emile Bernheim, Solvay Brussels School of … - 2009
While the literature on Socially Responsible Investment (SRI) is mainly focused on the stock market, little attention has been paid to SRI in sovereign bonds. This paper investigates the effect of taking into account socially responsible indicators for countries, the Vigeo Sustainability Ratings...
Persistent link: https://www.econbiz.de/10005558928
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Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guan, Guohui; Liang, Zongxia - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 99-109
This paper studies the optimization problem of DC pension plan under mean–variance criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang (2014), we assume that the instantaneous interest rate is an affine process including the Cox–Ingersoll–Ross (CIR)...
Persistent link: https://www.econbiz.de/10011263857
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Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 61 (2015), pp. 99-109
Persistent link: https://www.econbiz.de/10010515914
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Keeping up with the Joneses and optimal diversification
Levy, Moshe; Levy, Haim - In: Journal of banking & finance 58 (2015), pp. 29-38
Persistent link: https://www.econbiz.de/10011543860
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Financial development, sectoral reallocation, and volatility : international evidence
Manganelli, Simone; Popov, Alexander - In: Journal of international economics 96 (2015) 2, pp. 323-337
Persistent link: https://www.econbiz.de/10011387709
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Naïve versus mean-variance diversification in Indian capital markets
Gupta, Mohit; Aggarwal, Navdeep - In: Asia-Pacific journal of management research and … 11 (2015) 3, pp. 198-204
Persistent link: https://www.econbiz.de/10011392084
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Heterogeneity, Bounded Rationality and Market Dysfunctionality
He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2008
Words: Heterogeneity, bounded rationality, heterogeneous CAPM, mean-variance efficiency, Sharpe and Treynor ratios. JEL … the market performance. 8 HE AND SHI 3. ONE FUND THEOREM AND MEAN-VARIANCE EFFICIENCY In the standard mean … portfolios under the subjective beliefs, the market aggregation improves (worsens) the mean-variance efficiency of the optimal …
Persistent link: https://www.econbiz.de/10004984556
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Fundamental indexation for bond markets
de Jong, Marielle; Wu, Hongwen - In: The Journal of Risk Finance 15 (2014) 3, pp. 264-274
Purpose – The purpose of this paper is to build alternative indices weighing using a measure of fundamental value rather than debt size. The official bond indices built to reflect general price trends are market weighted, meaning that the bonds are weighted by their debt size. The more...
Persistent link: https://www.econbiz.de/10014901949
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Fundamental indexation for bond markets
Jong, Marielle de; Wu, Hongwen - In: Journal of Risk Finance 15 (2014), pp. 264-274
Purpose – The purpose of this paper is to build alternative indices weighing using a measure of fundamental value rather than debt size. The official bond indices built to reflect general price trends are market weighted, meaning that the bonds are weighted by their debt size. The more...
Persistent link: https://www.econbiz.de/10010815122
Saved in:
Cover Image
Fundamental indexation for bond markets
Jong, Marielle de; Wu, Hongwen - In: Journal of risk finance : the convergence of financial … 15 (2014) 3, pp. 264-274
Persistent link: https://www.econbiz.de/10010391444
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