Investing equally in risk

DOI10.1007/S10203-011-0121-3MaRDI QIDQ354660zbMATH OpenOpenAlexFDO

Authors Carl Lindberg

Publication date 19 July 2013

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-011-0121-3

zbMATH Keywords

mean-varianceportfolio optimizationBlack-Scholes model\(1/n\) strategyexpected stock returnsMarkowitz' problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Optimal Investment Strategy for Risky Assets
• The return on investment from proportional portfolio strategies
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Optimal mean-variance portfolio selection
• Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

Cites work

• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Approximating random variables by stochastic integrals
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance portfolio optimization in a jump-diffusion market
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time mean-variance portfolios: a comparison
• Continuous-time portfolio optimization under terminal wealth constraints
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimization when expected stock returns are determined by exposure to risk

Cited in

(3)

• The TEAM Approach to Investing
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization

This page was built for publication: Investing equally in risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q354660)