Search Results - subject:"Mean variance optimization"

60 Years of portfolio optimization: Practical challenges and current trends

Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. - In: European Journal of Operational Research 234 (2014) 2, pp. 356-371

The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60year anniversary of Harry Markowitz’s paper “Portfolio Selection,” we review some of the approaches...

Persistent link: https://www.econbiz.de/10011052731

60 years portfolio optimization : practical challenges and current trends

Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 356-371

Persistent link: https://www.econbiz.de/10010356756

Agribusiness Assets in Investment Portfolios

Johnson, Michael; O'Connor, Ian; Malcolm, Bill - Australian Agricultural and Resource Economics Society … - 2006

Persistent link: https://www.econbiz.de/10010914846

The Role of Agribusiness Assets in Investment Portfolios

Johnson, Michael; Malcolm, Bill; O'Connor, Ian - In: Australasian Agribusiness Review 14 (2006)

Markowitzâ€™s (1952) Modern Portfolio Theory (MPT) of mean-variance optimization. To measure the performance of agribusiness …

Persistent link: https://www.econbiz.de/10011143712

The Black–Litterman model: a consistent estimation of the parameter tau

Allaj, Erindi - In: Financial Markets and Portfolio Management 27 (2013) 2, pp. 217-251

In addition to giving a detailed description and explanation of the Black–Litterman (BL) model, this paper deals with estimation of the parameter tau. This parameter is the most mysterious one in the BL model, as the literature does not provide specific guidance on its calibration....

Persistent link: https://www.econbiz.de/10010863273

The Black-Litterman model : a consistent estimation of the parameter tau

Allaj, Erindi - In: Financial markets and portfolio management 27 (2013) 2, pp. 217-251

Persistent link: https://www.econbiz.de/10009754526

Constrained mean-variance portfolio optimization with alternative return estimation

Georgiev, Boris - In: Atlantic economic journal : AEJ 42 (2014) 1, pp. 91-107

Persistent link: https://www.econbiz.de/10010364842

Wealth-driven competition in a speculative financial market: Examples with maximizing agents

Anufriev, Mikhail - 2005

This paper demonstrates how both quantitative and qualitative results of general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the particular case of linear investment choices. In...

Persistent link: https://www.econbiz.de/10010328419

Wealth-Driven Competition in a Speculative Financial Market: Examples with Maximizing Agents

Anufriev, Mikhail - Laboratory of Economics and Management (LEM), Scuola … - 2005

maximization, and another which is derived from mean-variance optimization. While in the former case only qualitative results can …. Keywords: Asset Pricing Model, CRRA Framework, Equilibrium Market Line, Ratio- nal Choice, Expected Utility Maximization, Mean-Variance … Optimization, Linear Investment Functions. Tel.: +31-20-5254248; fax: +31-20-5254349; e-mail: M.Anufriev@uva.nl. This paper is …

Persistent link: https://www.econbiz.de/10005292650

Robust portfolio optimization: a conic programming approach

Ye, Kai; Parpas, Panos; Rustem, Berç - In: Computational Optimization and Applications 52 (2012) 2, pp. 463-481

Persistent link: https://www.econbiz.de/10010896517