Simplified mean-variance portfolio optimisation
From MaRDI portal
Publication:1938980
DOI10.1007/s11579-012-0067-4zbMath1264.91115MaRDI 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
hedging; minimum variance; two-fund separation; Sharpe ratio; portfolio choice; mean-variance; Markowitz problem; indifference valuation; no approximate profits
91G10: Portfolio theory
Related Items
DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION, Portfolio selection with robust estimators considering behavioral biases in a causal network, Mean-variance hedging with oil futures, Sensitivity analysis of the utility maximisation problem with respect to model perturbations, On lower partial moments for the investment portfolio with variance-gamma distributed returns, A projection pricing model for non-Gaussian financial returns
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The mean-variance investment problem in a constrained financial market
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Products of trees for investment analysis
- On transformations of actuarial valuation principles.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- On quadratic hedging in continuous time
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- On the law of one price
- Approximation pricing and the variance-optimal martingale measure
- Claim hedging in an incomplete market
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- RISKY OPTIONS SIMPLIFIED
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
- Financial markets theory. Equilibrium, efficiency and information
- From actuarial to financial valuation principles
- Projection pricing
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
