Results 1 - 10 of 2,018

Optimal Mean-Variance Selling Strategies

by J. L. Pedersen, G. Peskir
"... Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0, and letting Px denote a probability measure under which X starts at x> 0, we study the dynamic version of the nonlinear mean-variance optimal stopping problem sup EXt(Xτ) − c VarXt(Xτ) ..."
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Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0, and letting Px denote a probability measure under which X starts at x> 0, we study the dynamic version of the nonlinear mean-variance optimal stopping problem sup EXt(Xτ) − c VarXt(Xτ)

Optimal Mean-Variance Portfolio Selection

by J. L. Pedersen, G. Peskir
"... Assuming that the wealth process Xu is generated self-financially 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 mean-variance optimal control problem sup Et,X

Optimal mean-variance robust hedging under asset price model misspecification

by T. Toronjadze - Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robu ..."
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Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance

Optimal Mean-Variance Portfolio Construction in Cointegrated Vector Autoregressive Systems

by Melanie B Rudoy , Charles E Rohrs
"... Abstract-We study the problem of optimal portfolio construction when the log-prices follow a discrete-time cointegrated vector autoregressive model. We follow the classical Markowitz mean-variance optimization approach, and derive expressions for the optimal portfolio weight vector over a single de ..."
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Abstract-We study the problem of optimal portfolio construction when the log-prices follow a discrete-time cointegrated vector autoregressive model. We follow the classical Markowitz mean-variance optimization approach, and derive expressions for the optimal portfolio weight vector over a single

unknown title

by Zhixin Yang A, George Yin A, Le Yi Wang B, Hongwei Zhang C , 2013
"... Near-optimal mean–variance controls under two-time-scale formulations and applications ..."
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Near-optimal mean–variance controls under two-time-scale formulations and applications

Optimal robust mean-variance hedging in incomplete financial markets

by N. Lazrieva, T. Toronjadze - Journal of Mathematical Sciences
"... Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial mar ..."
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Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial

MEAN-VARIANCE PORTFOLIO OPTIMIZATION

by Emmanuel Asumeng-denteh, Dr. Domokos Vermes, Major Advisor, Emmanuel Asumeng-denteh , 2004
"... Transaction costs and resampling are two important issues that need great attention in every portfolio investment planning. In practice costs are incurred to rebalance a portfolio. Every investor tries to find a way of avoiding high transaction cost as much as possible. In this thesis, we investigat ..."
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investigated how transaction costs and resampling affect portfolio investment. We modified the basic mean-variance optimization problem to include rebalancing costs we incur on transacting securities in the portfolio. We also reduce trading as much as possible by applying the resampling approach any time we

Mean–variance optimal adaptive execution

by Julian Lorenz, Robert Almgren - Applied Mathematical Finance , 2011
"... Electronic trading of equities and other securities makes heavy use of “arrival price ” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do not modi ..."
Abstract - Cited by 11 (1 self) - Add to MetaCart
Electronic trading of equities and other securities makes heavy use of “arrival price ” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do

The theory of planned behavior

by Icek Ajzen - Organizational Behavior and Human Decision Processes , 1991
"... Research dealing with various aspects of * the theory of planned behavior (Ajzen, 1985, 1987) is reviewed, and some unresolved issues are discussed. In broad terms, the theory is found to be well supported by empirical evidence. Intentions to perform behaviors of different kinds can be predicted wit ..."
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with high accuracy from attitudes toward the behavior, subjective norms, and perceived behavioral control; and these intentions, together with perceptions of behavioral control, account for considerable variance in actual behavior. Attitudes, subjective norms, and perceived behavioral control are shown

MEAN-VARIANCE HEDGING WHEN THERE ARE JUMPS

by Andrew E. B. Lim , 2005
"... In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form e ..."
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In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form
Results 1 - 10 of 2,018