On Generalizations of Mean-Variance Model

被引：0
|
作者：
Fu, Yuting [1 ]
机构：
[1] Tsinghua Univ, Dept Math, Beijing 100084, Peoples R China
来源：
2018 INTERNATIONAL CONFERENCE ON COMPUTER INFORMATION SCIENCE AND APPLICATION TECHNOLOGY | 2019年 / 1168卷
关键词：
D O I：
10.1088/1742-6596/1168/5/052011
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
Mean-variance analysis is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. This paper is closely related to the mean-variance model, considers the variation of market parameters and the correspond influence on efficient frontier and generalizes the mean-variance model to separable utility function, then compares the efficient frontier with the original mean-variance model and tests the conclusions on real world financial dataset.
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页数：8
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