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Robust MeanVariance Portfolio Selection
, 2003
"... This paper investigates model risk issues in the context of meanvariance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial for t ..."
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Cited by 5 (0 self)
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This paper investigates model risk issues in the context of meanvariance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial
Optimal MeanVariance Portfolio Selection
"... Assuming that the wealth process Xu is generated selffinancially from the given initial wealth by holding its fraction u in a risky stock (whose price follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0) and its remaining fraction 1−u in a riskless bond (whose price compoun ..."
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compounds exponentially with interest rate r ∈ IR), and letting Pt,x denote a probability measure under which Xu takes value x at time t, we study the dynamic version of the nonlinear meanvariance optimal control problem sup Et,X
Dynamic meanvariance portfolio selection with noshorting constraints
 SIAM J. Control Optim
"... Abstract. This paper is concerned with meanvariance portfolio selection problems in continuoustime under the constraint that shortselling of stocks is prohibited. The problem is formulated as a stochastic optimal linearquadratic (LQ) control problem. However, this LQ problem is not a conventional ..."
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Cited by 25 (7 self)
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Abstract. This paper is concerned with meanvariance portfolio selection problems in continuoustime under the constraint that shortselling of stocks is prohibited. The problem is formulated as a stochastic optimal linearquadratic (LQ) control problem. However, this LQ problem is not a
An Asymptotic Analysis of the MeanVariance Portfolio Selection
"... Summary: This paper gives an asymptotic analysis of the meanvariance (Markowitztype) portfolio selection under mild assumptions on the market behavior. Theoretical results show the rate of underperformance of the risk aware Markowitztype portfolio strategy in growth rate compared to the logoptim ..."
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Cited by 4 (0 self)
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Summary: This paper gives an asymptotic analysis of the meanvariance (Markowitztype) portfolio selection under mild assumptions on the market behavior. Theoretical results show the rate of underperformance of the risk aware Markowitztype portfolio strategy in growth rate compared to the log
MultiPeriod MeanVariance Portfolio Selection with a Benchmark Process
, 2012
"... Abstract Meanvariance portfolio selection with a benchmark process is to maximize the expected final surplus subject to a given variance or, minimize the variance of final surplus subject to a given expectation. We introduce the benchmark process and define the surplus process as the difference be ..."
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Abstract Meanvariance portfolio selection with a benchmark process is to maximize the expected final surplus subject to a given variance or, minimize the variance of final surplus subject to a given expectation. We introduce the benchmark process and define the surplus process as the difference
Robust MeanVariance Portfolio Selection Problem Including Fuzzy Factors
"... Abstract—This paper considers robust meanvariance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not welldefined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibi ..."
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Abstract—This paper considers robust meanvariance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not welldefined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals
Continuoustime meanvariance portfolio selection: a stochastic LQ framework,”
 Applied Mathematics and Optimization,
, 2000
"... Abstract. This paper is concerned with a continuoustime meanvariance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteri ..."
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Cited by 46 (9 self)
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Abstract. This paper is concerned with a continuoustime meanvariance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two
Meanvariance Portfolio Selection under Markov Regime: Discretetime Models and Continuoustime Limits
"... In this paper, we propose a discretetime model for meanvariance portfolio selection. ..."
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In this paper, we propose a discretetime model for meanvariance portfolio selection.
MeanVariance Portfolio Selection for a Nonlife Insurance Company
"... We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity is described by a stochastic differential equation driven by a Brownian motion. The insurer operates in a financial market consisting of a riskfree asset with a constant forc ..."
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Cited by 7 (1 self)
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force of interest and a risky asset which price is driven by a Lévy noise. We investigate two optimization problems. The first one is the classical meanvariance portfolio selection. In this case the efficient frontier is derived. The second optimization problem, except the meanvariance terminal
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