A Stability Approach to Mean-Variance Optimization
نویسندگان
چکیده
منابع مشابه
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.
متن کاملA 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...
متن کاملMean Variance Optimization of Portfolios
The Mean-Variance Portfolio Theory continues to be the cardinal tool for much of portfolio management. Traditional concerted literature on the Mean-Variance theory can be segmented almost exclusively into (i) chapters in books that provide simply a write up on the theory and (ii) books that contain a purely mathematical analysis without emphasizing the financial implications and interpretations...
متن کاملA 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...
متن کاملLagrangean Decomposition for Mean-Variance Combinatorial Optimization
We address robust versions of combinatorial optimization problems, focusing on the uncorrelated ellipsoidal uncertainty case, which corresponds to so-called mean-variance optimization. We present a branch and bound-algorithm for such problems that uses lower bounds obtained from Lagrangean decomposition. This approach allows to separate the uncertainty aspect in the objective function from the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Financial Review
سال: 2015
ISSN: 0732-8516
DOI: 10.1111/fire.12068