Search Results - subject:"mean-variance framework"

A class of distorted Gaussian copulas : theories and applications

Shao, Hui; Zhang, Zhe George - In: Journal of the Operational Research Society 75 (2024) 11, pp. 2077-2100

Persistent link: https://www.econbiz.de/10015188767

How does risk hedging impact operations? : insights from a price-setting newsvendor model

Wang, Liao; Yao, Jin; Zhang, Xiaowei - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4912-4931

Persistent link: https://www.econbiz.de/10015046477

The effects of errors in means, variances, and correlations on the mean-variance framework

Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903

Persistent link: https://www.econbiz.de/10013367960

Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

Yuan, Yu; Liang, Zhibin; Han, Xia - In: Scandinavian actuarial journal 2022 (2022) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10013370644

The economic value of NFT : evidence from a portfolio analysis using mean–variance framework

Ko, Hyungjin; Son, Bumho; Lee, Yunyoung; Jang, Huisu; … - In: Finance research letters 47 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013455248

Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame

Shahzad, Syed Jawad Hussain; Zakaria, Muhammad; Raza, Naveed - Volkswirtschaftliche Fakultät, … - 2014

This study is based on positivism research philosophy and utilizes deductive approach using quantitative data analysis of 117 firms listed at KSE-100 Index from 2005 to 2012. Objective of study is to analyze the predictability of Capital Asset Pricing Model (CAPM) under different data...

Persistent link: https://www.econbiz.de/10011109401

Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks

Pan, Jian; Xiao, Qingxian - In: Mathematical methods of operations research 85 (2017) 3, pp. 491-519

Persistent link: https://www.econbiz.de/10011714519

CAPM estimates : can data frequency and time period lend a hand?

Shahzad, Syed Jawad Hussain; Khalid, Saniya; Ameer, Saba - In: International journal of financial engineering 3 (2016) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10011577135

A stochastic control approach to option market making

El Aoud, Sofiene; Abergel, Frédéric - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10011588196

Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

Kim, Woo Chang; Fabozzi, Frank J.; Cheridito, Patrick; … - In: Economics Letters 122 (2014) 2, pp. 154-158

In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

Persistent link: https://www.econbiz.de/10010743694