Simplified mean-variance portfolio optimisation

DOI10.1007/s11579-012-0067-4zbMath1264.91115OpenAlexW3122519464MaRDI QIDQ1938980

Claudio Fontana, Martin Schweizer

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/59845

zbMATH Keywords

hedgingminimum variancetwo-fund separationSharpe ratioportfolio choicemean-varianceMarkowitz problemindifference valuationno approximate profits

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (6)

A projection pricing model for non-Gaussian financial returns ⋮ Mean-variance hedging with oil futures ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Portfolio selection with robust estimators considering behavioral biases in a causal network ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

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