Search
Search Results
-
Non-Mean-Variance Portfolio Theory
The discussion on the Markowitz theory and the CAPM was based on the mean-variance framework, wherein the assumption was that the assets follow a...
-
Mean-Variance Portfolio Theory
Given the huge array of investment alternatives available in a market, such as basic securities and derivatives, the investors’ choice needs to be...
-
The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management
This paper studies the multi-period mean-variance (MV) asset-liability portfolio management problem (MVAL), in which the portfolio is constructed by...
-
Non-Markovian Mean-Variance Portfolio Selection Problems via Closed-Loop Equilibrium Strategies
In this article, a class of mean-variance portfolio selection problems with constant risk aversion is investigated by means of closed-loop...
-
Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
The Heston model is a popular stochastic volatility model in mathematical finance and it has been extended or modified in several ways by researchers...
-
Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon
This paper considers a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic...
-
Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach
In this paper, we consider optimal pairs trading strategies in terms of static optimality and dynamic optimality under mean–variance criterion. The...
-
Hybrid strategy in multiperiod mean-variance framework
In multiperiod mean-variance framework, the investor suffers time inconsistency. Current solution schemes either reformulate the problem into a...
-
Inference on autoregulation in gene expression with variance-to-mean ratio
Some genes can promote or repress their own expressions, which is called autoregulation. Although gene regulation is a central topic in biology,...
-
Dynamic mean–variance problem with frictions
We study a dynamic mean–variance portfolio selection problem with return predictability and trading frictions from price impact. Applying mean-field...
-
Alternative Ways for the Covariance Between Sample Mean and Variance
We derive a new expression for the covariance between sample mean and variance in terms of the moments of sample observations. Several corollaries...
-
Continuous-Time Markowitz’s Mean-Variance Model Under Different Borrowing and Saving Rates
We study Markowitz’s mean-variance portfolio selection problem in a continuous-time Black–Scholes market with different borrowing and saving rates....
-
Survey on Multi-period Mean–Variance Portfolio Selection Model
Due to the non-separability of the variance term, the dynamic mean–variance (MV) portfolio optimization problem is inherently difficult to solve by...
-
Mean-Variance Portfolios
In this chapter we study a multi-period version of the classical mean-variance problem. The mean-variance problem is a cornerstone of modern...
-
Mean-Variance Control
In this chapter we will consider dynamic mean-variance optimization. This is a continuous-time version of a standard Markowitz investment problem,...
-
Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving...
-
A new global algorithm for factor-risk-constrained mean-variance portfolio selection
We consider the factor-risk-constrained mean-variance portfolio-selection (MVPS) problem that allows managers to construct portfolios with desired...
-
Monitoring Mean and Variance Change-Points in Long-Memory Time Series
This paper proposes two ratio-type statistics to sequentially detect mean and variance change-points in the long-memory time series. The limiting...
-
Optimal pairs trading with dynamic mean-variance objective
Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell...
-
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (Quant Finance 14(1):29–58, 2014). Portfolio selection...
