We propose a simplified approach to mean-variance portfolio problems by changingtheir parametrisation from trading strategies to final positions. This allows us to treat,under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisationproblems by simple mathematical tools...

The Markowitz problem consists of finding in a financial market a self-financingtrading strategy whose final wealth has maximal mean and minimal variance. Westudy this in continuous time in a general semimartingale model and under coneconstraints: Trading strategies must take values in a...

We study mean-variance hedging under portfolio constraints in a general semi-martingale model. The constraints are formulated via predictable correspondences,meaning that the trading strategy is restricted to lie in a closed convex set whichmay depend on the state and time in a predictable way....

The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...

Simple heuristics for large portfolio choice in small samples are proposed. The loss of efficiency from true optimum is observed by simulation. The performance of chosen portfolios is reasonable when true arbitrage opportunities and good deals are absent.

The prospect theory of Kahneman and Tversky (1979) and the cumulative prospect theory of Tversky and Kahneman (1992) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper gives a survey of applications of prospect theory to the...