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  • Search: subject:"mean-variance"
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Year of publication
Subject
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Portfolio selection 641 Portfolio-Management 635 Theorie 461 Theory 451 CAPM 165 Kapitaleinkommen 139 Capital income 138 Mathematical programming 123 Mathematische Optimierung 123 Risk 116 Risiko 114 Stochastic process 98 Stochastischer Prozess 98 Hedging 83 Mean-variance 81 mean-variance 68 Schätztheorie 65 Estimation theory 63 Volatility 63 Anlageverhalten 62 Behavioural finance 62 Risk aversion 62 Risikoaversion 60 Volatilität 57 Optionspreistheorie 55 Mean-variance analysis 54 Option pricing theory 54 Schätzung 49 Estimation 48 Risk management 48 mean-variance analysis 48 Risikomanagement 47 Correlation 45 Risikomaß 45 Korrelation 44 Risk measure 44 Expected utility 43 Diversification 41 Time consistency 41 mean-variance efficiency 39
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Online availability
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Undetermined 653 Free 434 CC license 25
Type of publication
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Article 930 Book / Working Paper 367 Other 4
Type of publication (narrower categories)
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Article in journal 629 Aufsatz in Zeitschrift 629 Working Paper 135 Arbeitspapier 81 Graue Literatur 80 Non-commercial literature 80 Article 31 Aufsatz im Buch 10 Book section 10 Thesis 6 research-article 5 Conference paper 4 Konferenzbeitrag 4 Hochschulschrift 3 review-article 2 Lehrbuch 1
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Language
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English 894 Undetermined 390 German 11 French 4 Indonesian 1 Portuguese 1 Spanish 1
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Author
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Zeng, Yan 16 Kerstens, Kristiaan 15 Yao, Haixiang 15 Fabozzi, Frank J. 14 Wong, Wing-Keung 14 Wong, Hoi Ying 13 Shen, Yang 12 Wong, Wing Keung 12 Ledoit, Olivier 11 Li, Xun 11 Weber, Christoph 11 Young, Virginia R. 11 Cui, Xiangyu 10 Li, Danping 10 McAleer, Michael 10 Schweizer, Martin 10 Drut, Bastien 9 Forsyth, Peter 9 Li, Duan 9 Li, Zhongfei 9 Beaulieu, Marie-Claude 8 Bodnar, Taras 8 Briec, Walter 8 Chen, Ping 8 Dufour, Jean-Marie 8 Khalaf, Lynda 8 Kim, Woo Chang 8 Liang, Zongxia 8 Van de Woestyne, Ignace 8 Broll, Udo 7 Choi, Tsan-Ming 7 Fletcher, Jonathan 7 Galvani, Valentina 7 Hlouskova, Jaroslava 7 Liang, Zhibin 7 Mazur, Stepan 7 Wu, Huiling 7 BEAULIEU, Marie-Claude 6 Chernozhukov, Victor 6 Chiu, Mei Choi 6
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 11 C.E.P.R. Discussion Papers 7 Collegio Carlo Alberto, Università degli Studi di Torino 6 Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel) 6 Henley Business School, University of Reading 6 Finance Discipline Group, Business School 5 School of Economics and Management, University of Aarhus 5 University of Bonn, Germany 5 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 4 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 4 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 4 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 4 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 4 HAL 4 IÉSEG School of Management, Université Catholique de Lille 4 Tilburg University, Center for Economic Research 4 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 3 Department of Economics and Business, Universitat Pompeu Fabra 3 Department of Economics, University of Alberta 3 Département de Sciences Économiques, Université de Montréal 3 EconWPA 3 European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ. 3 Fachbereich Wirtschaftswissenschaften, Universität Duisburg-Essen 3 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 3 Fakultät Wirtschaftswissenschaften, Technische Universität Dresden 3 London School of Economics (LSE) 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 3 Tinbergen Instituut 3 Université Paris-Dauphine (Paris IX) 3 CESifo 2 Departamento de Economía, Universidad Carlos III de Madrid 2 Department of Economics and Finance, College of Business and Economics 2 Department of Economics, City University 2 Department of Economics, University of Connecticut 2 Department of Economics, University of Crete 2 Dipartimento di Scienze Economiche, Facoltà di Economia 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 2 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 2 Institute for the Study of Labor (IZA) 2
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Published in...
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Insurance 53 European journal of operational research : EJOR 48 Finance research letters 26 European Journal of Operational Research 22 Quantitative finance 21 Management Science 20 Insurance: Mathematics and Economics 17 International journal of theoretical and applied finance 15 Scandinavian actuarial journal 14 Economic modelling 13 Working Paper 13 Journal of Risk and Financial Management 11 Journal of investment management : JOIM 11 MPRA Paper 11 International Journal of Theoretical and Applied Finance (IJTAF) 10 Research paper series / Swiss Finance Institute 10 Journal of economic dynamics & control 9 Journal of risk and financial management : JRFM 9 Operations research letters 9 International journal of financial engineering 8 Journal of banking & finance 8 Mathematics and financial economics 8 CEPR Discussion Papers 7 Cahiers de recherche 7 Finance and Stochastics 7 Finance and stochastics 7 Journal of mathematical finance 7 Applied economics 6 Applied mathematical finance 6 Carlo Alberto Notebooks 6 Dresden Discussion Paper Series in Economics 6 ICMA Centre Discussion Papers in Finance 6 International journal of production economics 6 International review of financial analysis 6 Journal of Agricultural and Applied Economics 6 Journal of asset management 6 Journal of empirical finance 6 Management science : journal of the Institute for Operations Research and the Management Sciences 6 Mathematical methods of operations research 6 Risks 6
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Source
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ECONIS (ZBW) 730 RePEc 466 EconStor 85 BASE 11 Other ZBW resources 9
Showing 1 - 10 of 1,301
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Applying the mean-variance framework : portfolio optimization and comparative performance analysis in the emerging Colombian capital market
González-Bueno, Jairo; Tamošiūnienė, Rima; Gómez … - In: Business, mangagement and economics engineering : BMEE 23 (2025) 1, pp. 165-188
Purpose - this paper adopts the mean-variance approach in optimizing portfolios within the Colombian capital market, a … markets with similar structural and economic conditions. Research methodology - a bi-objective mean-variance model has been … the mean-variance model in emerging economies. It emphasizes novelty in portfolio optimization solutions and further …
Persistent link: https://www.econbiz.de/10015444845
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Markowitz portfolios under transaction costs
Ledoit, Olivier; Wolf, Michael - In: The quarterly review of economics and finance 100 (2025), pp. 1-12
Persistent link: https://www.econbiz.de/10015405546
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Time-varying risk aversion and international stock returns
Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10015338080
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Mean-variance optimization for participating life insurance contracts
Fießinger, Felix; Stadje, Mitja - In: Insurance : mathematics and economics 122 (2025), pp. 230-248
Persistent link: https://www.econbiz.de/10015432084
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The multi-armed bandit problem under the mean-variance setting
Hu, Hongda; Charpentier, Arthur; Ghossoub, Mario; … - In: European journal of operational research : EJOR 324 (2025) 1, pp. 168-182
Persistent link: https://www.econbiz.de/10015433020
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Mean-variance optimization in finite horizon Markov decision processes and its application to revenue management
Schlosser, Rainer; Gönsch, Jochen - In: European journal of operational research : EJOR 325 (2025) 3, pp. 516-524
Persistent link: https://www.econbiz.de/10015433319
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A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models
Ma, Junmei; Wang, Chen; Xu, Wei - In: European journal of operational research : EJOR 321 (2025) 3, pp. 1021-1035
Persistent link: https://www.econbiz.de/10015409961
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Optimal REIT portfolio selection using machine learning
Zhang, Wendi; Li, Bin; Singh, Tarlok; Liew, Alan Wee-Chung - In: Journal of alternative finance 2 (2025) 1, pp. 45-68
Persistent link: https://www.econbiz.de/10015481307
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Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility
Bian, Lihua; Shen, Yang; Zhang, WenJun; Zou, Bin - In: Quantitative finance 25 (2025) 10, pp. 1615-1637
Persistent link: https://www.econbiz.de/10015534210
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Comparison between mean-variance and monotone mean-variance preferences in general markets : a new perspective
Li, Yuchen; Liang, Zongxia; Pang, Shunzhi - In: Operations research letters : a journal of INFORMS … 61 (2025), pp. 1-7
Persistent link: https://www.econbiz.de/10015432154
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