scholarly journals Mean-variance portfolio methods for energy policy risk management

2015 ◽  
Vol 40 ◽  
pp. 246-264 ◽  
Author(s):  
Gustavo A. Marrero ◽  
Luis A. Puch ◽  
Francisco J. Ramos-Real
Keyword(s):  
Risk Management ◽  
Energy Policy ◽  
Policy Risk ◽  
Mean Variance Portfolio ◽  
Mean Variance

scholarly journals The energy policy risk management system model: theories and practices

2020 ◽  
Vol 23 (4) ◽  
pp. 33-48
Author(s):  
Iryna Nyenno ◽  
Natalia Selivanova ◽  
Natalya Korolenko ◽  
Vyacheslav Truba
Keyword(s):  
Risk Management ◽  
Energy Policy ◽  
Management System ◽  
System Model ◽  
Risk Management System ◽  
Policy Risk

STUDY ON THE RESAMPLING TECHNIQUE FOR RISK MANAGEMENT IN THE INTERNATIONAL PORTFOLIO SELECTION BASED ON CHINESE INVESTORS

2013 ◽  
Vol 21 (supp01) ◽  
pp. 35-49 ◽  
Author(s):  
MEI YU ◽  
JIANGZE BIAN ◽  
HAIBIN XIE ◽  
QIN ZHANG ◽  
DAN RALESCU
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Investment Efficiency ◽  
Chinese Market ◽  
Variance Model ◽  
International Portfolio ◽  
Resampling Method ◽  
The Mean ◽  
Mean Variance Portfolio ◽  
Mean Variance

In this paper, we employ the resampling method to reduce the sample errors and increase the robustness of the classic mean variance model. By comparing the performances of the classic mean variance portfolio and the resampled portfolio, we show that the resampling method can enhance the investment efficiency. Through an empirical study of Chinese investors who invest in both Chinese market and other twelve major financial markets, we show that the resampling method helps to improve the performance of the mean variance model.

Dynamic mean-variance portfolio analysis under model risk

2009 ◽  
Vol 12 (4) ◽  
pp. 91-115 ◽  
Author(s):  
Daniel Kuhn ◽  
Panos Parpas ◽  
Berç Rustem ◽  
Raquel Fonseca
Keyword(s):  
Portfolio Analysis ◽  
Model Risk ◽  
Mean Variance Portfolio ◽  
Mean Variance

Mean-Variance Portfolio with Generalized EMA and Anomaly Detector

2016 ◽  
Author(s):  
Masafumi Nakano ◽  
Akihiko Takahashi ◽  
Soichiro Takahashi
Keyword(s):  
Anomaly Detector ◽  
Mean Variance Portfolio ◽  
Mean Variance

Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ishak Alia ◽  
Farid Chighoub
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Optimal Time ◽  
Uniqueness Results ◽  
State Dependent ◽  
Consistent Solution ◽  
Game Theoretic ◽  
Markov Modulated ◽  
Mean Variance Portfolio ◽  
Mean Variance

Abstract This paper studies optimal time-consistent strategies for the mean-variance portfolio selection problem. Especially, we assume that the price processes of risky stocks are described by regime-switching SDEs. We consider a Markov-modulated state-dependent risk aversion and we formulate the problem in the game theoretic framework. Then, by solving a flow of forward-backward stochastic differential equations, an explicit representation as well as uniqueness results of an equilibrium solution are obtained.

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