Adaptation to mean and variance: interrelationships between mean and variance representations in orientation perception

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 .

The Tail Mean-Variance Model and Extended Efficient Frontier

In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

Comparison between the Mean Variance optimal and the Mean

5 We compare optimal liquidation policies in continuous time in the presence of trading impact using 6 numerical solutions of Hamilton Jacobi Bellman (HJB) partial differential equations (PDE). In par7 ticular, we compare the time-consistent mean-quadratic-variation strategy with the time-inconsistent 8 (pre-commitment) mean-variance strategy. We show that the two different risk measures lead t...

Portfolio performance evaluation in modified mean-variance models

The present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Huge amounts of money are being invested in financial market. As a result, portfolio performance evaluation has created a great deal of interest among people. We kn...

Using linear mean and variance technique to evaluate the pattering in random winding process