A mean-variance approach to fundamental valuations

A Fuzzy Programming Approach to Multi-objective Mean Variance Model

The traditional single objective mean variance optimization model fails to satisfy the investors with multiple investment objectives. So multi-objective portfolio optimization model is considered in this paper. Since this will help investors to achieve highest expected return among the different financial products of the capital market and to fulfill the expected return objectives simultaneousl...

Portfolio-optimization by the mean-variance-approach

MaMaEuSch has been carried out with the partial support of the European Community in the framework of the Sokrates programme. The content does not necessarily reflect the position of the European Community, nor does it involve any responsibility on the part of the European Community.

A Fuzzy Approach to Mean-CDaR Portfolio Optimization

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

Mean - Variance

We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P ⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P ⋆ coincides with the variance-optimal martin-gale measure relative to the original probability measure P .

Determinants of variance in health state valuations