Search Results - subject:"Mean Variance"

Equilibrium reinsurance strategies for catastrophe and secondary claims under α-maxmin mean-variance criterion

Zhang, Liming; Wu, Hongping; Zhao, Qian; Wang, Ning - In: International review of financial analysis 96 (2024) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10015595132

Navigating extreme market fluctuations : asset allocation strategies in developed vs. emerging economies

Bonga-Bonga, Lumengo - In: Econometrics : open access journal 14 (2026) 1, pp. 1-16

Distribution (GPD) and Generalized Extreme Value (GEV) approaches to model tail risks. This study evaluates mean-variance …

Persistent link: https://www.econbiz.de/10015640564

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2026 - This version: April 9, 2026

Persistent link: https://www.econbiz.de/10015632820

Transition from e-commerce to q-commerce : analysing the impact of hyper-local delivery on the pricing strategies of risk-averse supply chain partners

Raju, Sarin; Ali, Rofin Thirunelvelikaran Mohammed; … - In: Journal of management science and engineering 11 (2026) 1, pp. 103-130

downstream channel partners. The downstream channel partners are also assumed to be risk-averse, and we used the Mean-Variance …

Persistent link: https://www.econbiz.de/10015637531

A hybrid genetic algorithm with learning-to-rank-to-optimization for US equity portfolio construction

Kottas, Ferdinantos - In: International Journal of Financial Studies : open … 14 (2026) 4, pp. 1-46

This study develops and evaluates an equity selection pipeline that converts quarterly fundamentals into a monthly frequency, constructs profitability, leverage, liquidity, and growth characteristics, and learns a linear ranking model via a genetic algorithm (GA). The GA is trained to maximize...

Persistent link: https://www.econbiz.de/10015652184

Diversification effects of ESG penalties in sustainable mean–variance portfolios

Müller, Lukas - In: Journal of Asset Management 27 (2026) 2

We study how different ways of incorporating environmental, social, and governance (ESG) objectives into mean–variance …. We contrast this specification with a nonlinear ESG adjustment arising from a robust mean–variance framework, in which … portfolio construction, while being derived from a stylized mean–variance setting. …

Persistent link: https://www.econbiz.de/10015627055

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

Persistent link: https://www.econbiz.de/10015592539

Time-varying risk aversion and international stock returns

Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10015338080

Optimal REIT portfolio selection using machine learning

Zhang, Wendi; Li, Bin; Singh, Tarlok; Liew, Alan Wee-Chung - In: Journal of alternative finance 2 (2025) 1, pp. 45-68

Persistent link: https://www.econbiz.de/10015481307

Applying the mean-variance framework : portfolio optimization and comparative performance analysis in the emerging Colombian capital market

González-Bueno, Jairo; Tamošiūnienė, Rima; Gómez … - In: Business, mangagement and economics engineering : BMEE 23 (2025) 1, pp. 165-188

Purpose - this paper adopts the mean-variance approach in optimizing portfolios within the Colombian capital market, a … markets with similar structural and economic conditions. Research methodology - a bi-objective mean-variance model has been … the mean-variance model in emerging economies. It emphasizes novelty in portfolio optimization solutions and further …

Persistent link: https://www.econbiz.de/10015444845