scientific article; zbMATH DE number 2065132

MaRDI QIDQ4459795zbMATH OpenFDO

Authors Domenico Mignacca, Attilio Meucci

Publication date 18 May 2004

zbMATH Keywords

constant hedging benchmarkone-period mean-variance optimization

Mathematics Subject Classification ID

Recommendations

• scientific article; zbMATH DE number 1304952
• Dynamic asset allocation in a mean-variance framework
• scientific article; zbMATH DE number 1304947
• Continuous time mean variance asset allocation: a time-consistent strategy
• Multi-period portfolio optimization with linear control policies

Cited in

(5)

• In search of robust methods for multi-currency portfolio construction by value at risk
• Dynamic currency hedging with non-Gaussianity and ambiguity
• Trend-following hedge funds and multi-period asset allocation
• On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios
• The zero-capital approach to portfolio enhancement and overlay management

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4459795)