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Jørgensen, Bent [Author]

The theory of dispersion models

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London [u.a.]: Chapman & Hall, 1997

Published in: Monographs on statistics and applied probability ; 7600
Kiesl, Hans [Author]

Ordinale Streuungsmasse : theoretische Fundierung und statistische Anwendung - [1. Aufl.]

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Lohmar; Köln: Eul, 2003

Published in: Reihe Quantitative Ökonomie ; 13400
Beaulieu, Marie-Claude [Author]; Dufour, Jean-Marie [Author]; Khalaf, Lynda [Author]

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

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Frankfurt am Main: Dt. Bundesbank, 2003

Published in: Volkswirtschaftliches Forschungszentrum: Discussion paper ; 2003,1,engl.
Anufriev, Mikhail [Author]

Wealth-driven competition in a speculative financial market: examples with maximizing agents

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2008
Bosserhoff, Frank [Author]

Portfolio selection, delta hedging and robustness in Brownian and jump-diffusion models

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https://d-nb.info/1206248602/34

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Ulm: Universität Ulm, 2020
Kaplan, Paul D. [Author]; Idzorek, Thomas M. [Author]

Joining Lifecycle Models with Mean-Variance Optimization

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https://ssrn.com/abstract=4474977

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[S.l.]: SSRN, [2023]
Ruszczynski, Andrzej [Author]; Shapiro, Alexander [Author] ; Higle, Julie L. [Contributor]; Römisch, Werner [Contributor]; Sen, Surrajeet [Contributor]

Optimization of Convex Risk Functions

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http://edoc.hu-berlin.de/18452/8967

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Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik, 2004-03-25
Hunjra, Ahmed Imran [Author]; Alawi, Suha Mahmoud [Author]; Colombage, Sisira [Author]; Sahito, Uroosa [Author]; Hanif, Mahnoor [Author]

Portfolio construction by using different risk models: a comparison among diverse economic scenarios

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Basel: MDPI, 2020
Adi Kurniawan Yusup [Author]

Mean-variance and single-index model portfolio optimisation : case in the Indonesian stock market

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https://ajba.um.edu.my/index.php/AJBA/article/download/41011/15321

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2022

Published in: Asian journal of business and accounting ; 15(2022), 2, Seite 79-109
Carmichael, Benoît [Author]; Koumou, Gilles Boevi [Author]; Moran, Kevin [Author]

The RQE-CAPM : new insights about the pricing of idiosyncratic risk

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https://cirano.qc.ca/files/publications/2021s-28.pdf

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[Montréal]: CIRANO, [2021]

Published in: Cahier scientifique ; 2021,28
Carmichael, Benoît [Author]; Koumou, Gilles Boevi [Author]; Moran, Kevin [Author]

The RQE-CAPM : new insights about the pricing of idiosyncratic risk

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http://www.crrep.ca/sites/crrep.ca/files/fichier_publications/2021-07_0.pdf

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[Québec]: Centre de recherche sur les risques les enjeux économiques et les politiques publiques, August 2021

Published in: Cahier de recherche ; 2021,7
Shen, Yang [Author]

Effect of variance swap in hedging volatility risk

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Basel: MDPI, 2020
Chow, Nikolai Sheung-Chi [Author]

Revisiting Portfolio Optimization : The Interplay of Partial Moments, Mean-Variance Analysis, and Prospect Theory

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https://ssrn.com/abstract=4457298

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[S.l.]: SSRN, [2023]
Chow, Nikolai Sheung-Chi [Author]

Modified Mean-Variance Analysis, Portfolio Optimization and Prospect Theory

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https://ssrn.com/abstract=4287601

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[S.l.]: SSRN, 2022
Merzifonluoglu, Yasemin [Author]; Geunes, Joseph [Author]

Adjusted Distributionally Robust Bounds on Expected Loss Functions

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https://ssrn.com/abstract=4438326

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[S.l.]: SSRN, [2023]
Wijaya, Wendy [Author]; Sidarto, Kuntjoro Adji [Author]

Large-scale portfolio optimization using biogeography-based optimization

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https://www.mdpi.com/2227-7072/11/4/125/pdf

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2023

Published in: International Journal of Financial Studies ; 11(2023), 4 vom: Dez., Artikel-ID 125, Seite 1-16
Kolev, Gueorgui I. [Author]; Āzacis, Helmuts [Author]

On the use of the Helmert transformation, and its applications in panel data econometrics

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https://www.degruyter.com/document/doi/10.1515/jem-2021-0023/pdf

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2023

Published in: Journal of econometric methods ; 12(2023), 1 vom: Jan., Seite 131-138
Lorenzo, Luis [Author]; Arroyo, Javier [Author]

Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm

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https://jfin-swufe.springeropen.com/counter/pdf/10.1186/s40854-022-00438-2.pdf

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2023

Published in: Financial innovation ; 9(2023), 1, Artikel-ID 25, Seite 1-40
Lu, Yijia [Author]

Research on the Application of Mean-Variance Model in Securities Investment Portfolio Planning : Evidence from China Stock Market

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https://ssrn.com/abstract=4393576

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[S.l.]: SSRN, [2023]
Wang, Ling [Author]; Chiu, Mei Choi [Author]; Wong, Hoi Ying [Author]

Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate

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2023

Published in: Scandinavian actuarial journal ; 2023(2023), 2, Seite 123-152

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