Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

From MaRDI portal
Publication:2706425

DOI10.1137/S0036144500376650zbMath1049.91086MaRDI QIDQ2706425

Marc C. Steinbach

Publication date: 19 March 2001

Published in: SIAM Review (Search for Journal in Brave)




Related Items (82)

Risk and utility in portfolio optimizationVariance allocation and Shapley valueMean–variance portfolio selection based on a generalized BNS stochastic volatility modelThe complexity of equilibria for risk-modeling valuationsRobust portfolio choice with CVaR and VaR under distribution and mean return ambiguityA maximum entropy method for a robust portfolio problemMinimization of a function of a quadratic functional with application to optimal portfolio selectionMean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returnsAnalyzing operational risk-reward trade-offs for start-upsPortfolio optimization with disutility-based risk measureRobust multiperiod portfolio management in the presence of transaction costsBilevel decision via variational inequalitiesOn a nonseparable convex maximization problem with continuous Knapsack constraintsMultiperiod portfolio optimization models in stochastic markets using the mean--variance approachDiscrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noiseDirected Principal Component AnalysisAn Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization ProblemsCloud-assisted privacy-conscious large-scale Markowitz portfolioSolving nonlinear portfolio optimization problems with the primal-dual interior point methodPortfolio optimization by a bivariate functional of the mean and varianceA closed-form solution of the Black-Litterman model with conditional value at riskOptimal reinsurance and investment strategies under mean-variance criteria: partial and full informationPortfolio optimization with transaction costs: a two-period mean-variance modelComplex portfolio selection via convex mixed‐integer quadratic programming: a surveyClosed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and varianceAn efficient DC programming approach for portfolio decision with higher momentsSimplified mean-variance portfolio optimisationMulti-period mean-variance portfolio selection with regime switching and a stochastic cash flowOptimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noisesRecent advances in reinforcement learning in financeTranslation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component$$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse PlayersMultistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rulesOptimal strategy of taxi drivers at airports by a stochastic programming approach: evidence from airports in ChinaRisk management strategies for finding universal portfoliosPrincipal component analysis and optimal portfolioUp- and down-correlations in normal variance mixture modelsVaR optimal portfolio with transaction costsOptimal capital allocation for individual risk model using a mean-variance principleDecomposing risk in an exploitation-exploration problem with endogenous termination timeArbitrage-free conditions and hedging strategies for markets with penalty costs on short positionsA review on ambiguity in stochastic portfolio optimizationOptimal investment policy in the time consistent mean-variance formulationPortfolio optimization for wealth-dependent risk preferencesA Distributed Interior-Point KKT Solver for Multistage Stochastic OptimizationMean-Variance Portfolio Selection for Partially Observed Point ProcessesOn the tail mean-variance optimal portfolio selectionCredibilitic mean-variance model for multi-period portfolio selection problem with risk controlTheoretical and semantic distinctions of fuzzy, possibilistic, and mixed fuzzy/possibilistic optimizationA closed-form solution of the multi-period portfolio choice problem for a quadratic utility functionDiscrete time mean-variance analysis with singular second moment matrices and an exogenous liabilityPortfolio optimization when asset returns have the Gaussian mixture distributionMultiperiod mean-variance optimization with intertemporal restrictionsAn equivalent mathematical program for games with random constraintsMultiperiod mean-variance efficient portfolios with endogenous liabilitiesRisk management in uncapacitated facility location models with random demandsThe complexity of \((\mathsf{E}+\mathsf{Var})\)-equilibria, \(\mathsf{ESR}\)-equilibria, and \(\mathsf{SuperE}\)-equilibria for 2-players games with few cost valuesParallel interior-point solver for structured quadratic programs: Application to financial planning problemsConditional value-at-risk: structure and complexity of equilibriaMulti-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizonStatic and dynamic VaR constrained portfolios with application to delegated portfolio managementOptimal capital allocation based on the tail mean-variance modelDual method for continuous-time Markowitz's problems with nonlinear wealth equationsPortfolio optimization in stochastic marketsA mean-variance model for the minimum cost flow problem with stochastic arc costsRobust portfolios: contributions from operations research and financeContinuous-time mean-variance efficiency: the 80\% rule60 years of portfolio optimization: practical challenges and current trendsMean-variance portfolio selection in presence of infrequently traded stocksTime consistent policy of multi-period mean-varianceMulti-period portfolio optimization with linear control policiesA generalized multi-period mean-variance portfolio optimization with Markov switching parametersOn robust mean-variance portfoliosA NOTE ON SEMIVARIANCEPortfolio selection in stochastic markets with exponential utility functionsGlobal optimization of higher order moments in portfolio selectionModels and simulations for portfolio rebalancingAn estimation model of value-at-risk portfolio under uncertaintyLeast-squares approach to risk parity in portfolio selectionMEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATIONPortfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysisUtility-Deviation-Risk Portfolio Selection




This page was built for publication: Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis