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  • Search: subject:"Mean-Variance model"
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Year of publication
Subject
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Portfolio selection 43 Portfolio-Management 42 Theorie 36 Theory 34 Mean-variance model 26 Mathematical programming 17 Mathematische Optimierung 17 mean-variance model 16 Risiko 12 Risk 12 Capital income 10 Kapitaleinkommen 10 CAPM 7 Mean–variance model 6 Dynamic programming 5 Risk aversion 5 hedging 5 Estimation 4 Risikomanagement 4 Risikomaß 4 Risk measure 4 Robust statistics 4 Robustes Verfahren 4 Schätzung 4 Uncertain time-horizon 4 ASSET-PRICING 3 Artificial intelligence 3 Cash Flow 3 Cash flow 3 Correlation 3 Decision under uncertainty 3 Diversification 3 Dynamische Optimierung 3 Efficient frontier 3 Entropie 3 Entropy 3 Entscheidung unter Unsicherheit 3 Korrelation 3 Künstliche Intelligenz 3 Lieferkette 3
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Online availability
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Undetermined 43 Free 25 CC license 2
Type of publication
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Article 64 Book / Working Paper 17
Type of publication (narrower categories)
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Article in journal 41 Aufsatz in Zeitschrift 41 Working Paper 8 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 1 Aufsatz im Buch 1 Book section 1 Conference paper 1 Konferenzbeitrag 1
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Language
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English 56 Undetermined 25
Author
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Broll, Udo 7 Koumou, Gilles Boevi 5 Wong, Wing-Keung 5 Yao, Haixiang 5 Egozcue, Martín 4 Fabozzi, Frank J. 4 Kim, Jang Ho 4 Kim, Woo Chang 4 Zeng, Yan 4 Carmichael, Benoît 3 Guo, Sini 3 Guo, Xu 3 Li, Xun 3 Moran, Kevin 3 Wahl, Jack E. 3 Weber, Christoph 3 Woll, Oliver 3 Zhu, Lixing 3 Ball, Ray 2 Barry, Peter J. 2 Brown, Philip 2 Chen, Shumin 2 Chong, Siong Choy 2 Dong, Ming 2 Dupačová, Jitka 2 Escalante, Cesar L. 2 Landsman, Zinoviy 2 Li, Xiang 2 Luo, Jianwen 2 Makov, Udi 2 Managi, Shunsuke 2 Mukherjee, Soumyatanu 2 Norzaidi, Mohd Daud 2 Officer, R. R. 2 Segerstedt, Anders 2 Shah, Basri Basaruddin 2 Shao, Lusheng 2 Shushi, Tomer 2 Wong, Wing Keung 2 Wu, Huiling 2
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Institution
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Fakultät Wirtschaftswissenschaften, Technische Universität Dresden 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Centre de recherche en économie de l'environnement, de l'agroalimentaire, des transports et de l'énergie (CREATE), Université Laval 1 Fachbereich Wirtschaftswissenschaften, Universität Duisburg-Essen 1 Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel) 1 University of Bonn, Germany 1
Published in...
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Dresden Discussion Paper Series in Economics 6 European journal of operational research : EJOR 6 Australian Journal of Management 3 Economic modelling 3 Finance research letters 3 Quantitative finance 3 Economic Modelling 2 Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty 2 International Journal of Electronic Finance 2 International Journal of Financial Studies : open access journal 2 Journal of banking & finance 2 MPRA Paper 2 Operations research letters 2 Risk management : a journal of risk, crisis and disaster 2 The North American journal of economics and finance : a journal of financial economics studies 2 Asian journal of business and accounting : AJBA 1 Business and Economics Research Journal 1 Cahier de recherche 1 Cahier scientifique 1 Cahiers de recherche CREATE 1 Discussion Paper Serie B 1 EWL Working Paper 1 EWL Working Papers 1 EWL working paper 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Energy 1 European Journal of Operational Research 1 Finance Research Letters 1 Financial Markets and Portfolio Management 1 FinanzArchiv: Public Finance Analysis 1 International Journal of Academic Research in Accounting, Finance and Management Sciences 1 International Journal of Production Economics 1 International journal of production economics 1 International review of economics & finance : IREF 1 International review of financial analysis 1 Iranian Economic Review 1 Journal of Agricultural and Applied Economics 1 Journal of Banking & Finance 1 Journal of business economics and management 1 Journal of quantitative economics 1
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Source
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ECONIS (ZBW) 46 RePEc 29 EconStor 5 BASE 1
Showing 1 - 10 of 81
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Unifying portfolio diversification measures using Rao's quadratic entropy
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - In: Journal of quantitative economics 21 (2023) 4, pp. 769-802
Persistent link: https://www.econbiz.de/10014518461
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Large-scale portfolio optimization using biogeography-based optimization
Wijaya, Wendy; Sidarto, Kuntjoro Adji - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-16
Digital credit has gained much attention from academic researchers, practitioners, and policymakers worldwide. This study empirically evaluates the determinants of digital credit using cross-country data from 2013 to 2019. The conventional ordinary least square regression with fixed effects...
Persistent link: https://www.econbiz.de/10014484201
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Mean-variance and single-index model portfolio optimisation : case in the Indonesian stock market
Adi Kurniawan Yusup - In: Asian journal of business and accounting : AJBA 15 (2022) 2, pp. 79-109
Persistent link: https://www.econbiz.de/10013531172
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Markowitz mean-variance portfolio optimization with predictive stock selection using machine learning
Apichat Chaweewanchon; Rujira Chaysiri - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-19
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine...
Persistent link: https://www.econbiz.de/10013368389
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Adaptive online mean-variance portfolio selection with transaction costs
Guo, Sini; Gu, Jia-Wen; Ching, Wai Ki; Lyu, Benmeng - In: Quantitative finance 24 (2024) 1, pp. 59-82
Persistent link: https://www.econbiz.de/10014551906
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Weight bound constraints in mean-variance models : a robust control theory foundation via machine learning
Koumou, Gilles Boevi - In: Quantitative finance 24 (2024) 6, pp. 719-733
Persistent link: https://www.econbiz.de/10015050790
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Mean-variance portfolio with wealth and volatility dependent risk aversion
Liu, Shican - In: Quantitative finance 24 (2024) 6, pp. 735-751
Persistent link: https://www.econbiz.de/10015050791
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Naïve Markowitz policies
Chen, Lin; Zhou, Xun Yu - 2024
Persistent link: https://www.econbiz.de/10015149380
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The RQE-CAPM : new insights about the pricing of idiosyncratic risk
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - 2021
Persistent link: https://www.econbiz.de/10012617477
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The RQE-CAPM : new insights about the pricing of idiosyncratic risk
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - 2021
Persistent link: https://www.econbiz.de/10012617687
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