ON MEAN-VARIANCE PORTFOLIO SELECTION

被引:0
|
作者
SCHNABEL, JA
机构
关键词
D O I
10.1002/mde.4090050103
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:3 / 6
页数:4
相关论文
共 50 条
  • [1] Optimal mean-variance portfolio selection
    Pedersen, Jesper Lund
    Peskir, Goran
    MATHEMATICS AND FINANCIAL ECONOMICS, 2017, 11 (02) : 137 - 160
  • [2] Behavioral mean-variance portfolio selection
    Bi, Junna
    Jin, Hanging
    Meng, Qingbin
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 271 (02) : 644 - 663
  • [3] Optimal mean-variance portfolio selection
    Jesper Lund Pedersen
    Goran Peskir
    Mathematics and Financial Economics, 2017, 11 : 137 - 160
  • [4] Mean-Variance Model for International Portfolio Selection
    Pan, Qiming
    Huang, Xiaoxia
    EUC 2008: PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON EMBEDDED AND UBIQUITOUS COMPUTING, VOL 2, WORKSHOPS, 2008, : 632 - 636
  • [5] On the selection of an efficient portfolio in the mean-variance approach
    Peretti, Alberto
    Journal of Interdisciplinary Mathematics, 2004, 7 (01) : 41 - 59
  • [6] On the Tail Mean-Variance optimal portfolio selection
    Landsman, Zinoviy
    INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (03): : 547 - 553
  • [7] ESTIMATION AND SELECTION BIAS IN MEAN-VARIANCE PORTFOLIO SELECTION
    FRANKFURTER, GM
    LAMOUREUX, CG
    JOURNAL OF FINANCIAL RESEARCH, 1989, 12 (02) : 173 - 181
  • [8] PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
    Maccheroni, Fabio
    Marinacci, Massimo
    Rustichini, Aldo
    Taboga, Marco
    MATHEMATICAL FINANCE, 2009, 19 (03) : 487 - 521
  • [9] Mean-variance portfolio selection of cointegrated assets
    Chiu, Mei Choi
    Wong, Hoi Ying
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2011, 35 (08): : 1369 - 1385
  • [10] THE GENERAL MEAN-VARIANCE PORTFOLIO SELECTION PROBLEM
    MARKOWITZ, HM
    PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, 1994, 347 (1684): : 543 - 549