@misc{Steinbach, author = {Steinbach, Marc}, title = {Markowitz Revisited: Single-Period and Multi-Period Mean-Variance Models}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-4183}, number = {SC-99-30}, abstract = {Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We investigate in detail the interplay between objective and constraints in a number of single-period variants, including semi-variance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development and theoretical analysis of multi-period models based on scenario trees. A key property is the possibility to remove surplus money in future decisions, yielding approximate downside risk minimization.}, language = {en} }