On the Tail Mean–Variance optimal portfolio selection

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2010.02.001 ◽

2010 ◽

Vol 46 (3) ◽

pp. 547-553 ◽

Author(s):

Zinoviy Landsman

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Download Full-text

Time Optimal Portfolio Selection: Mean-variance-efficient Sets for Arithmetic and Geometric Brownian Price Processes

Studies in Classification, Data Analysis, and Knowledge Organization - Classification and Information Processing at the Turn of the Millennium ◽

10.1007/978-3-642-57280-7_33 ◽

2000 ◽

pp. 304-311

Author(s):

T. Burkhardt

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Efficient Sets ◽

Time Optimal ◽

Optimal Portfolio Selection ◽

Download Full-text

A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs

Optimal Control Applications and Methods ◽

10.1002/oca.936 ◽

2010 ◽

Vol 32 (2) ◽

pp. 127-138 ◽

Author(s):

Hui Peng ◽

Genshiro Kitagawa ◽

Min Gan ◽

Xiaohong Chen

Keyword(s):

Quadratic Form ◽

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Selection Strategy ◽

Variance Model ◽

Optimal Portfolio Selection ◽

Download Full-text

Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty

Quantitative Finance ◽

10.1080/14697688.2020.1748214 ◽

2020 ◽

pp. 1-22

Author(s):

David Bauder ◽

Taras Bodnar ◽

Nestor Parolya ◽

Wolfgang Schmid

Keyword(s):

Portfolio Selection ◽

Parameter Uncertainty ◽

Optimal Portfolio ◽

Variance Analysis ◽

Optimal Portfolio Selection ◽

Download Full-text

Mean-variance optimal portfolio selection with a value-at-risk constraint

10.5353/th_b4189721 ◽

2009 ◽

Author(s):

Hui Deng

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Optimal Portfolio ◽

A Value ◽

Optimal Portfolio Selection ◽

Risk Constraint ◽

Download Full-text

A Mean-Variance Model for Optimal Portfolio Selection with Transaction Costs

IFAC Proceedings Volumes ◽

10.3182/20080706-5-kr-1001.00277 ◽

2008 ◽

Vol 41 (2) ◽

pp. 1627-1632

Author(s):

Hui Peng ◽

Min Gan ◽

Xiaohong Chen

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Variance Model ◽

Optimal Portfolio Selection ◽

Download Full-text

The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2021.01.007 ◽

2021 ◽

Vol 98 ◽

pp. 44-50

Author(s):

Esmat Jamshidi Eini ◽

Hamid Khaloozadeh

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Elliptical Distribution ◽

Optimal Portfolio Selection ◽

Download Full-text

Optimal Portfolio Selection in Nonlinear Arbitrage Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.1617662 ◽

2010 ◽

Author(s):

Hamad Alsayed ◽

Frank McGroarty

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

Download Full-text

A Note on Optimal Portfolio Selection and Diversification Benefits with a Short Sale Restriction on Real Estate Assets

Journal of Real Estate Research ◽

10.1080/10835547.1992.12090687 ◽

1992 ◽

Vol 7 (4) ◽

pp. 493-501 ◽

Author(s):

Tsong-Yue Lai ◽

Ko Wang ◽

Su Chan ◽

Daniel Lee

Keyword(s):

Real Estate ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Real Estate Assets

Download Full-text

Optimal portfolio selection and uncertain inflation

The Journal of Portfolio Management ◽

10.3905/jpm.1986.409083 ◽

1986 ◽

Vol 13 (1) ◽

pp. 44-49 ◽

Author(s):

Son-Nan Chen ◽

Reena Aggarwal

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

Download Full-text

Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

International Journal of Control ◽

10.1080/00207179.2012.735373 ◽

2013 ◽

Vol 86 (3) ◽

pp. 426-437 ◽

Author(s):

Yan Zeng ◽

Zhongfei Li ◽

Huiling Wu

Keyword(s):

Portfolio Selection ◽

Cash Flow ◽

Optimal Portfolio ◽

Risky Assets ◽

Optimal Portfolio Selection

Download Full-text