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.
引用
收藏
页数：8
相关论文
共 50 条
  • [31] 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
  • [32] 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
  • [33] 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
  • [34] Stability Analysis of Dynamic Mean-Variance Portfolio Model
    Li, Su
    PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE OF MANAGEMENT ENGINEERING AND INFORMATION TECHNOLOGY, VOLS 1 AND 2, 2009, : 411 - 415
  • [35] The Possibilistic Mean-Variance Model with Uncertain Possibility Distributions
    Goktas, Furkan
    JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, 2024, 11 (02): : 535 - 550
  • [36] Mean-variance analysis of the newsvendor model with stockout cost
    Wu, Jun
    Li, Jian
    Wang, Shouyang
    Cheng, T. C. E.
    OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 2009, 37 (03): : 724 - 730
  • [37] Classical mean-variance model revisited: pseudo efficiency
    Cui, Xiangyu
    Duan, Li
    Yan, Jiaan
    JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2015, 66 (10) : 1646 - 1655
  • [38] Portfolio Selection via Fuzzy Mean-Variance Model
    Borovicka, Adam
    38TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2020), 2020, : 59 - 65
  • [39] ON MEAN-VARIANCE PORTFOLIO SELECTION
    SCHNABEL, JA
    MANAGERIAL AND DECISION ECONOMICS, 1984, 5 (01) : 3 - 6
  • [40] Mean-variance hedging and numeraire
    Gourieroux, C
    Laurent, JP
    Pham, H
    MATHEMATICAL FINANCE, 1998, 8 (03) : 179 - 200
12345