Simplified mean-variance portfolio optimisation
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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
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