Search Results - subject:"Variance approach"

Modifying the Mean-Variance Approach to Avoid Violations of Stochastic Dominance

Blavatskyy, Pavlo R. - In: Management Science 56 (2010) 11, pp. 2050-2057

The mean-variance approach is an influential theory of decision under risk proposed by Markowitz (Markowitz, H. 1952 …. Portfolio selection. J. Finance 7(1) 77-91). The mean-variance approach implies violations of first-order stochastic dominance … not commonly observed in the data. This paper proposes a new model in the spirit of the classical mean-variance approach …

Persistent link: https://www.econbiz.de/10009214726

Mean variance efficient portfolios by linear programming : a review of some portfolio selection criteria of Elton, Gruber and Padberg

Jensen, Bjarne Astrup - 2001

Persistent link: https://www.econbiz.de/10001553946

Tests of mean-variance spanning

Kan, Raymond (contributor); Zhou, Guofu (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001681234

Mean-variance portfolio allocation with a value at risk constraint

Sentana, Enrique - 2001

Persistent link: https://www.econbiz.de/10001633973

Legal restrictions on portfolio holdings : some empirical results

Hlouskova, Jaroslava; Lee, Gabriel S. - 2001

This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our...

Persistent link: https://www.econbiz.de/10009724430

Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes

Vigna, Elena - Centre for Research on Pensions and Welfare Policies … - 2009

We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...

Persistent link: https://www.econbiz.de/10008635813