Mean-variance investing with factor tilting

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 .

Investing in a Real World With Mean-Reverting In ation

High dimensional mean-variance optimization through factor analysis

A factor analysis-based approach for estimating high dimensional covariancematrix is proposed and is applied to solve themean–variance portfolio optimization problem in finance. The consistency of the proposed estimator is established by imposing a factor model structure with a relative weak assumption on the relationship between the dimension and the sample size. Numerical results indicate tha...

A load factor based mean-variance analysis for fuel diversification

Fuel diversification implies the selection of a mix of generation technologies for long-term electricity generation. The goal is to strike a good balance between reduced costs and reduced risk. The method of analysis that has been advocated and adopted for such studies is the mean-variance portfolio analysis pioneered by Markowitz (1959). However the standard mean-variance methodology, does not...

Fractal image compression with variance and mean

Although Fractal image compression has high quality at high compression ratio, it needs a lot of encoding time so that it has not been widely applied as other coding schemes in the field of image compression. In this paper, an algorithm is devised to improve this drawback. We utilize mean and variance to classify image blocks and combine the transformation reduction techniques to decrease the e...