Zobrazeno 1 - 10
of 145 617
pro vyhledávání: '"mean variance"'
Autor:
Statman, Meir1 (AUTHOR) mstatman@scu.edu
Publikováno v:
Journal of Portfolio Management. 2024 Special Issue Dedicated to Harry Markowitz, Vol. 50 Issue 8, p24-29. 6p.
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (AAIs) are characterized by drifted Brownian motion with both common and
Externí odkaz:
http://arxiv.org/abs/2412.09171
Autor:
Benveniste, Jerome1 (AUTHOR) ejb14@nyu.edu, Kolm, Petter N.2 (AUTHOR) petter.kolm@nyu.edu, Ritter, Gordon3 (AUTHOR) ritter@post.harvard.edu
Publikováno v:
Journal of Portfolio Management. 2024 Special Issue Dedicated to Harry Markowitz, Vol. 50 Issue 8, p90-116. 27p.
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with unbounded
Externí odkaz:
http://arxiv.org/abs/2408.08595
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and hold in d
Externí odkaz:
http://arxiv.org/abs/2408.03134
Markowitz laid the foundation of portfolio theory through the mean-variance optimization (MVO) framework. However, the effectiveness of MVO is contingent on the precise estimation of expected returns, variances, and covariances of asset returns, whic
Externí odkaz:
http://arxiv.org/abs/2409.09684
We study the continuous-time pre-commitment mean-variance portfolio selection in a time-varying financial market. By introducing two indexes which respectively express the average profitability of the risky asset (AP) and the current profitability of
Externí odkaz:
http://arxiv.org/abs/2408.07969
Autor:
Fießinger, Felix, Stadje, Mitja
This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for the optimal terminal wealth and the optimal strategy in the multi-dimens
Externí odkaz:
http://arxiv.org/abs/2407.11761
Autor:
Phoa, Wesley1 (AUTHOR) wkp@capgroup.com
Publikováno v:
Journal of Portfolio Management. 2024 Special Issue Dedicated to Harry Markowitz, Vol. 50 Issue 8, p250-259. 10p.
Autor:
Kirov, Stoyan1 kirov@ue-varna.bg, Beneva, Milena2 m.beneva@ue-varna.bg
Publikováno v:
Economic Studies. 2024, Vol. 33 Issue 6, p88-112. 25p.