Search Results - subject:"Mean variance optimization"

Energy Risk Management with Carbon Assets

Chevallier, Julien - HAL - 2009

This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with …

Persistent link: https://www.econbiz.de/10008793949

High dimensional mean–variance optimization through factor analysis

Chen, Binbin; Huang, Shih-Feng; Pan, Guangming - In: Journal of Multivariate Analysis 133 (2015) C, pp. 140-159

A factor analysis-based approach for estimating high dimensional covariance matrix is proposed and is applied to solve the mean–variance portfolio optimization problem in finance. The consistency of the proposed estimator is established by imposing a factor model structure with a relative weak...

Persistent link: https://www.econbiz.de/10011116231

From predictive uplift modeling to prescriptive uplift analytics : a practical approach to treatment optimization while accounting for estimation risk

Lo, Victor S.; Pachamanova, Dessislava A. - In: Journal of marketing analytics : JMA 3 (2015) 2, pp. 79-95

Persistent link: https://www.econbiz.de/10011433507

Strategic asset allocation of credit guarantors

Rhee, Dong-Woo; Kang, Hyoung Goo; Kim, Soo-hyun - In: The journal of applied business research 31 (2015) 5, pp. 1823-1833

Persistent link: https://www.econbiz.de/10011412460

An approach to improve meanvariance portfolio optimization model

Yanushevsky, Rafael; Yanushevsky's, Daniel - In: The journal of asset management 16 (2015) 3, pp. 209-219

Persistent link: https://www.econbiz.de/10011413306

Markowitz versus Michaud : portfolio optimization strategies reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - In: The European journal of finance 21 (2015) 4/6, pp. 269-291

Persistent link: https://www.econbiz.de/10010528202

Is U.S. insider trading still relevant? : a quantitative portfolio approach

Bettis, Carr; Guerard, John Baynard; McAuley, Daniel - In: Journal of investment management : JOIM 13 (2015) 4, pp. 33-56

Persistent link: https://www.econbiz.de/10011640337

Efficiently combining multiple sources of alpha

Menchero, Jose; Lee, Jyh-Huei - In: Journal of investment management : JOIM 13 (2015) 4, pp. 71-86

Persistent link: https://www.econbiz.de/10011640362

Augmented risk models to mitigate factor alignment problems

Saxena, Anureet; Stubbs, Robert A. - In: Journal of investment management : JOIM 13 (2015) 3, pp. 57-79

Persistent link: https://www.econbiz.de/10011635344

Constrained Mean-Variance Portfolio Optimization with Alternative Return Estimation

Georgiev, Boris - In: Atlantic Economic Journal 42 (2014) 1, pp. 91-107

This paper studies the problem of asset allocation in a mean-variance framework. The theoretical model of portfolio optimization is specified and then applied to a long panel data set from historic to most recent times, March 1990 – March 2013. The paper contributes in three ways. First, an...

Persistent link: https://www.econbiz.de/10010866458