Portfolio theory for squared returns correlated across time

DOI10.1186/S41546-016-0001-4MaRDI QIDQ2296080zbMATH OpenOpenAlexWikidataFDO

Authors Ernst Eberlein, Dilip B. Madan

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-016-0001-4

zbMATH Keywords

correlated squared returnstwo-period portfolio theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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• Conic portfolio theory
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• A multi-period mean-variance portfolio selection with serially correlated returns of risky assets

Cites work

• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Asset pricing theory.
• Conic portfolio theory
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic asset allocation in a mean-variance framework
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 2119185 (Why is no real title available?)
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Mean-variance hedging in continuous time
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Mean-variance versus expected utility in dynamic investment analysis

Cited in

(5)

• Digital portfolio theory
• Reconciling mean-variance portfolio theory with non-Gaussian returns
• Estimation of ask and bid prices for geometric Asian options
• Two sided efficient frontiers at multiple time horizons
• Instantaneous portfolio theory

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