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  • Search: subject:"Mean variance optimization"
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Year of publication
Subject
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Portfolio selection 56 Portfolio-Management 56 Theorie 48 Theory 47 mean-variance optimization 35 Mean-variance optimization 24 Mathematical programming 21 Mathematische Optimierung 21 Capital income 10 Kapitaleinkommen 10 CAPM 9 Risiko 9 Risk 9 Mean-Variance Optimization 8 Financial investment 7 Hedging 7 Kapitalanlage 7 Risikoaversion 7 Estimation theory 6 Mean–variance optimization 6 Risikomanagement 6 Risk aversion 6 Risk management 6 Schätztheorie 6 asset allocation 6 portfolio selection 6 Anlageverhalten 5 Behavioural finance 5 Estimation 5 Risikomodell 5 Risk model 5 Robust statistics 5 Robustes Verfahren 5 Schätzung 5 Stochastic process 5 Stochastischer Prozess 5 efficient frontier 5 Correlation 4 Forecasting model 4 Korrelation 4
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Online availability
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Undetermined 44 Free 39 CC license 1
Type of publication
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Article 75 Book / Working Paper 24
Type of publication (narrower categories)
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Article in journal 55 Aufsatz in Zeitschrift 55 Working Paper 12 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article 5 Aufsatz im Buch 1 Book section 1
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Language
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English 74 Undetermined 21 German 4
Author
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Anufriev, Mikhail 3 Bai, Zhidong 3 Becker, Franziska 3 Bräuer, Leonie 3 Gürtler, Marc 3 Hau, Harald 3 Hibbeln, Martin 3 Kwon, Roy H. 3 Li, Hua 3 Wong, Wing-Keung 3 Abate, Guido 2 Allaj, Erindi 2 Bonafini, Tommaso 2 Burkhardt, Raphael 2 Chen, Yanhong 2 Chevallier, Julien 2 Drut, Bastien 2 Fabozzi, Frank J. 2 Ferrari, Pierpaolo 2 Frahm, Gabriel 2 Georgiev, Boris 2 Glas, Tobias N. 2 Jiang, Wenjun 2 Johnson, Michael 2 Kolm, Petter N. 2 Kritzman, Mark 2 Malcolm, Bill 2 McAleer, Michael 2 Menchero, Jose 2 O'Connor, Ian 2 Poddig, Thorsten 2 Shen, Yang 2 Soupé, François 2 Sun, Zhongyang 2 Tian, Yingxu 2 Tütüncü, Reha 2 Ulrych, Urban 2 ALADAG, Cagdas Hakan 1 Adcock, C. J. 1 Arruda, Nelson 1
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Institution
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Australian Agricultural and Resource Economics Society - AARES 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 HAL 1 Institute for Financial Research (SIFR) 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 Majandusteaduskond, Tallinna Tehnikaülikool 1 School of Economics and Management, University of Aarhus 1 Université Paris-Dauphine (Paris IX) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Journal of investment management : JOIM 7 Quantitative finance 4 Research paper series / Swiss Finance Institute 3 The journal of asset management 3 Vierteljahrshefte zur Wirtschaftsforschung 3 ASTIN bulletin : the journal of the International Actuarial Association 2 European Journal of Operational Research 2 European journal of operational research : EJOR 2 Finance research letters 2 MIT Sloan Research Paper 2 Management Science 2 The journal of investment strategies 2 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 1 Annals of financial economics 1 Asia-Pacific financial markets 1 Atlantic Economic Journal 1 Atlantic economic journal : AEJ 1 Australasian Agribusiness Review 1 CREATES Research Papers 1 Computational Optimization and Applications 1 Computers & operations research : and their applications to problems of world concern ; an international journal 1 Discussion paper / Tinbergen Institute 1 ESRB Working Paper Series 1 EconomiX Working Papers 1 Economics Papers from University Paris Dauphine 1 Finance and Stochastics 1 Financial Markets and Portfolio Management 1 Financial analysts journal : FAJ 1 Financial markets and portfolio management 1 Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets 1 IMA journal of management mathematics 1 IMES Discussion Paper Series 1 Insurance / Mathematics & economics 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International journal of financial engineering 1 International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association 1 Investment management and financial innovations 1 Journal of Multivariate Analysis 1 Journal of Risk and Financial Management 1
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Source
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ECONIS (ZBW) 63 RePEc 26 EconStor 10
Showing 21 - 30 of 99
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Statistical properties of estimators for the log-optimal portfolio
Frahm, Gabriel - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012301635
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Portfolio selection with exploration of new investment opportunities
Sornette, Didier; Strub, Moris Simon - 2020
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124
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Optimal currency hedging : horizon matters
Arruda, Nelson; Bergeron, Alain; Kritzman, Mark - 2019 - This Version: June 7, 2019
based on mean-variance optimization, deployed either to maximize expected utility for cases in which the investor has non …
Persistent link: https://www.econbiz.de/10012104398
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Kryptowährungen in der Asset-Allokation : eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios
Glas, Tobias N.; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 3, pp. 107-128
Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...
Persistent link: https://www.econbiz.de/10012053532
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Optimal portfolio choice with estimation risk : no risk-free asset case
Kan, Raymond; Wang, Xiaolu; Zhuo, Guofu - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2047-2068
Persistent link: https://www.econbiz.de/10013262911
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Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion
Schlosser, Rainer - In: IMA journal of management mathematics 33 (2022) 2, pp. 181-199
Persistent link: https://www.econbiz.de/10012798765
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Mean-variance insurance design with counterparty risk and incentive compatibility
Boonen, Tim J.; Jiang, Wenjun - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 645-667
Persistent link: https://www.econbiz.de/10013270080
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A combinatorial optimization approach to scenario filtering in portfolio selection
Puerto, Justo; Ricca, Federica; Rodríguez-Madrena, Moisés - In: Computers & operations research : and their … 142 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013197730
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Kryptowährungen in der Asset- Allokation: eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios
Glas, Tobias N.; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 3, pp. 107-128
Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...
Persistent link: https://www.econbiz.de/10012144672
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Eine empirische Analyse von Initial Coin Offerings (ICO)
Varmaz, Armin; Varmaz, Nermin - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 3, pp. 129-150
Im Bereich von Blockchain-Unternehmen haben sich Initial Coin Offerings (ICOs) als die wichtigste Kapitalbeschaffungsmaßnahme etabliert. Aufgrund weitgehender Ungewissheit über die Anwendbarkeit bestehender Gesetze und der weniger restriktiven staatlichen Einflussnahme erscheint ex ante diese...
Persistent link: https://www.econbiz.de/10012144673
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