A note on the mean-variance criteria for discrete time financial markets

DOI10.1007/S10255-005-0276-1MaRDI QIDQ2508065zbMATH OpenOpenAlexFDO

Authors Xinhua Liu

Publication date 9 October 2006

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-005-0276-1

zbMATH Keywords

expected utility maximizationMean-variance portfolio selectionmeasure of risktrinomial tree model

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
• Equivalent martingale measures for large financial markets in discrete time
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• Limit theorems for discretely observed stochastic volatility models
• Application of the continuous VaR criterion in financial markets
• Variance-Optimal Hedging in Discrete Time

Cites work

• MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
• Stochastic finance. An introduction in discrete time

Cited in

(3)

• A note on the kinks at the mean variance frontier
• Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
• Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability

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