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IS MEANVARIANCE ANALYSIS VACUOUS: or Was Beta Still Born?
, 1996
"... We show in any economy trading options, with investors having meanvariance preferences, that there are arbitrage opportunities resulting from negative prices for out of the money call options. The theoretical implication of this inconsistency is that meanvariance analysis is vacuous. The practical ..."
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Cited by 6 (0 self)
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We show in any economy trading options, with investors having meanvariance preferences, that there are arbitrage opportunities resulting from negative prices for out of the money call options. The theoretical implication of this inconsistency is that meanvariance analysis is vacuous
On the Markowitz meanvariance analysis of selffinancing portfolios
 Risk and Decision Analysis
"... This document is the authors ' final version of the published article. ..."
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Cited by 7 (5 self)
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This document is the authors ' final version of the published article.
LongRun MeanVariance Analysis in a Diffusion Environment
, 2012
"... This note explores longrun meanvariance analysis as described in Cochrane (2012a) “A MeanVariance Benchmark for Intertemporal Portfolio Theory, ” in the standard environment of continuous time, i.i.d. lognormal returns and a constant interest rate. In this case markets are complete, so the discou ..."
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Cited by 2 (2 self)
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This note explores longrun meanvariance analysis as described in Cochrane (2012a) “A MeanVariance Benchmark for Intertemporal Portfolio Theory, ” in the standard environment of continuous time, i.i.d. lognormal returns and a constant interest rate. In this case markets are complete, so
The Immunization Performance of Traditional and Stochastic Durations: A MeanVariance Analysis∗
, 2008
"... This paper provides a meanvariance analysis of immunization strategies that trade off coupon reinvestment risk with resale price risk. For static immunization strategies, neither traditional nor stochastic durations fall in the set of efficient horizons. This finding is robust across various inter ..."
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This paper provides a meanvariance analysis of immunization strategies that trade off coupon reinvestment risk with resale price risk. For static immunization strategies, neither traditional nor stochastic durations fall in the set of efficient horizons. This finding is robust across various
Sustainable Yields in Fisheries: Uncertainty, RiskAversion and MeanVariance Analysis
, 2009
"... We consider a model of a fishery in which the dynamic of the unharvested fish population is given by the stochastic logistic growth equation dx(t) = [κx(t)(θ − x(t))]dt + σx(t)dW(t). Similar as in the classical deterministic analogon, we assume that the fishery harvests the fish population followin ..."
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consider an approach which we call the meanvariance analysis to sustainable fisheries. Similar as in the now classical meanvariance analysis in Finance, going back to Markowitz (1957) [12], we study the problem of maximizing expected sustainable yields under variance constraints, and dual to this
Lectures 3 and 4 Mean Variance Analysis
, 2007
"... In addition to learning the material covered in the reading and the lecture, students should • understand how portfolio variance can be reduced through diversification and the limits of diversification; • comprehend the tradeoff between risk and return, both intuitively and algebraically; • underst ..."
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; • understand how the efficient frontier of risky assets is obtained and be able to locate ‘key’ portfolios such as the global minimumvariance portfolio and the tangency portfolio in the mean/standarddeviation diagram. Required reading:
MEAN VARIANCE ANALYSIS OF INSTANTANEOUS OPTIONS RETURNS By
"... Randomness in portfolios of options and their common underlying originates from two major sources of uncertainty: the price of the underlying and the implied volatility smile. Within the subset of portfolios whose unique source of uncertainty is the volatility smile, we derive an explicit formula fo ..."
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for the weights, mean, and variance of the instantaneously meanvariance efficient portfolios. This is done by applying principal component analysis (PCA) to the smile. The meanvariance characteristics do not depend on the appreciation rate of the underlying, and are therefore attractive for applications.
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