Search Results - subject:"Mean–variance portfolio selection"

An adaptively managed dynamic portfolio selection model using a time-varying investment target according to the market forecast

Jung, Jongbin; Kim, Seongmoon - In: Journal of the Operational Research Society : OR 66 (2015) 7, pp. 1115-1131

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011403704

On the complexity of the single machine scheduling problem minimizing total weighted delay penalty

Vásquez, Óscar C. - In: Operations research letters 42 (2014) 5, pp. 343-347

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010404393

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010404397

Continuous-time mean-variance portfolio selection with partial information

Pang, Wan-Kai; Ni, Yuan-Hua; Li, Xun; Yiu, Ka-Fai Cedric - In: Journal of mathematical finance 4 (2014) 5, pp. 353-365

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011312406

Approximating the Growth Optimal Portfolio with a Diversified World Stock Index

Le, Truc; Platen, Eckhard - Finance Discipline Group, Business School - 2006

This paper constructs and compares various total return world stock indices based on daily data. Due to diversification these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio. The paper constructs a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004984555

Approximating the Growth Optimal Portfolio with a Diversified World Stock Index

Le, Truc; Platen, Eckhard - Finance Discipline Group, Business School - 2006

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005041731

Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow

Wu, Huiling; Li, Zhongfei - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 371-384

This paper investigates a non-self-financing portfolio optimization problem under the framework of multi-period mean–variance with Markov regime switching and a stochastic cash flow. The stochastic cash flow can be explained as capital additions or withdrawals during the investment process....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010576723

The efficient frontier for bounded assets

Best, Michael J.; Hlouskova, Jaroslava - In: Mathematical Methods of Operations Research 52 (2000) 2, pp. 195-212

This paper develops a closed form solution of the mean-variance portfolio selection problem for uncorrelated and … the nature of the efficient frontier. The mean-variance portfolio selection problem considered here deals with the budget … constraint and lower bounds or the budget constraint and upper bounds. For the mean-variance portfolio selection problem dealing …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010950255

The efficient frontier for bounded assets

Best, Michael J.; Hlouskova, Jaroslava - In: Computational Statistics 52 (2000) 2, pp. 195-212

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010759458

Sensitivity Analysis for Mean-Variance Portfolio Problems

Best, Michael J.; Grauer, Robert R. - In: Management Science 37 (1991) 8, pp. 980-989

This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio problems using a general form of parametric quadratic programming. The analysis allows an investor to examine how parametric changes in either the means or the right-hand side of the constraints affect the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009214132