Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?

DOI10.1023/A:1009779113922MaRDI QIDQ4798664zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Robert A. Jarrow

Publication date 12 March 2003

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009779113922

zbMATH Keywords

option pricingcall optionstrading options

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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(10)

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• OPTION BETAS: RISK MEASURES FOR OPTIONS
• Beta in Linear Risk Tolerance Economies
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• An additive model of decision making under risk and ambiguity
• Mean-variance analysis of arbitrage portfolios under investment proportion limitations

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