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Long-Horizon Mean-Variance Analysis:A User Guide.
Multi-objective mean-variance-skewness model
Electricity markets Generation portfolio management
2014/11/27
This paper proposes an approach for generation portfolio allocation based on mean–variance–skewness (MVS) model which is an extension of the classical mean–variance (MV) portfolio theory, to deal with...
Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is the well posedness of ...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Pricing European Options Non-continuous Trading
2010/10/20
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Robust mean-variance hedging in the single period model
The min-max problem mean-variance hedging maximum principle robust optimization
2010/11/2
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
Optimal Robust Mean-Variance Hedging Incomplete Financial Markets
2010/12/17
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strate...