A MEAN-VARIANCE DERIVATION OF A MULTIFACTOR EQUILIBRIUM-MODEL

被引:3
|
作者
EHRHARDT, MC
机构
关键词
D O I
10.2307/2330714
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:227 / 236
页数:10
相关论文
共 50 条
  • [31] Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model
    Li, Yuchen
    Liang, Zongxia
    Pang, Shunzhi
    MATHEMATICS OF OPERATIONS RESEARCH, 2024,
  • [32] Mean-variance utility
    Nakamura, Yutaka
    JOURNAL OF ECONOMIC THEORY, 2015, 160 : 536 - 556
  • [33] MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN
    Markowitz, Harry
    ANNALS OF FINANCIAL ECONOMICS, 2012, 7 (01)
  • [34] Mean-variance portfolio selection under a constant elasticity of variance model
    Shen, Yang
    Zhang, Xin
    Siu, Tak Kuen
    OPERATIONS RESEARCH LETTERS, 2014, 42 (05) : 337 - 342
  • [35] Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
    Wang, Tianxiao
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2020, 490 (01)
  • [36] WHY DO WE REJECT THE MEAN-VARIANCE MODEL
    JANSEN, WJ
    SCANDINAVIAN JOURNAL OF ECONOMICS, 1995, 97 (01): : 137 - 144
  • [37] An approach to improve mean-variance portfolio optimization model
    Yanushevsky R.
    Yanushevsky'S D.
    Journal of Asset Management, 2015, 16 (3) : 209 - 219
  • [38] Mean-variance portfolio optimization model with uncertain coefficients
    Ida, M
    10TH IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS, VOLS 1-3: MEETING THE GRAND CHALLENGE: MACHINES THAT SERVE PEOPLE, 2001, : 1223 - 1226
  • [39] DIFFERENT MEAN-VARIANCE MODEL BASED ON COMPOSITIONAL DATA
    Lin, Lili
    Li, Li
    PROCEEDINGS OF THE 2017 12TH IEEE CONFERENCE ON INDUSTRIAL ELECTRONICS AND APPLICATIONS (ICIEA), 2017, : 687 - 692
  • [40] An extension to the classical mean-variance portfolio optimization model
    Otken, Celen N.
    Organ, Z. Batuhan
    Yildirim, E. Ceren
    Camlica, Mustafa
    Canturk, Volkan S.
    Duman, Ekrem
    Teksan, Z. Melis
    Kayis, Enis
    ENGINEERING ECONOMIST, 2019, 64 (03): : 310 - 321