Mean Variance Optimization in Markov Decision Processes with State-Dependent Risk Aversion

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Rainer Schlosser

Optimal Monotone Mean-Variance Problem in Catastrophe Insurance Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Bohan Li | Junyi Guo | Xiaoqing Liang

Downside Risk Optimization vs Mean-Variance Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Andrea Rigamonti

The Efficiency of Mean-Variance Optimization with In-Depth Covariance Matrix Estimation and Portfolio Rebalancing

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Joonas Hamalainen

On Mean Variance Portfolio Optimization: Improving Performance Through Better Use of Hedging Relations

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Shingo Goto | Yan Xu

Adjusting the Sample Mean for Mean-Variance Portfolio Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Tongshu Ma | Ravi Jagannathan

Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization

JOURNAL ARTICLE published 2024 in SSRN Electronic Journal

Authors: Oleg Gurin

Large-Scale Mean-Variance Optimization and Chunking Algorithm

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Gilles Koumou

Fast Quadratic Programming for Mean-Variance Portfolio Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Vasileios Kontosakos

Mean-Variance Investing

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Andrew Ang

Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection with Background Risk

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Xu Guo | Raymond Honfu Chan | Wing-Keung Wong | Lixing Zhu

Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Xu Guo | Raymond Honfu Chan | Wing-Keung Wong | Lixing Zhu

Integrating Prediction in Mean-Variance Portfolio Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Andrew Butler | Roy Kwon

A Paradox in the Markowitz Mean-Variance Model with Transaction Costs

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: George L. Ye

Robust Empirical Optimization is Almost the Same As Mean-Variance Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jun-ya Gotoh | Michael Jong Kim

Joining Lifecycle Models with Mean-Variance Optimization

JOURNAL ARTICLE published 2023 in SSRN Electronic Journal

Authors: Paul D. Kaplan | Thomas Idzorek

Modified Mean-Variance Analysis, Portfolio Optimization and Prospect Theory

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Sheung-Chi Chow

A Broader View of the Mean-Variance Optimization Framework

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Christopher J. Donohue

Estimation Errors and Securities Grouping in Mean-Variance Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Irina Murtazashvili | Nadezhda Vozlyublennaia

Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jun-ya Gotoh | Michael Jong Kim | Andrew Lim