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  <doc>
    <id>418</id>
    <completedYear/>
    <publishedYear/>
    <thesisYearAccepted/>
    <language>eng</language>
    <pageFirst/>
    <pageLast/>
    <pageNumber/>
    <edition/>
    <issue/>
    <volume/>
    <type>reportzib</type>
    <publisherName/>
    <publisherPlace/>
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    <belongsToBibliography>0</belongsToBibliography>
    <completedDate>1999-08-20</completedDate>
    <publishedDate>1999-08-20</publishedDate>
    <thesisDateAccepted>--</thesisDateAccepted>
    <title language="eng">Markowitz Revisited: Single-Period and Multi-Period Mean-Variance Models</title>
    <abstract language="eng">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.</abstract>
    <identifier type="serial">SC-99-30</identifier>
    <identifier type="opus3-id">419</identifier>
    <identifier type="urn">urn:nbn:de:0297-zib-4183</identifier>
    <enrichment key="SourceTitle">Appeared in: SIAM Review 43(1), 31-85 (2001)</enrichment>
    <author>Marc Steinbach</author>
    <series>
      <title>ZIB-Report</title>
      <number>SC-99-30</number>
    </series>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>mean-variance analysis</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>downside risk</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>multi-period model</value>
    </subject>
    <collection role="ddc" number="000">Informatik, Informationswissenschaft, allgemeine Werke</collection>
    <collection role="msc" number="90C15">Stochastic programming</collection>
    <collection role="msc" number="90C20">Quadratic programming</collection>
    <collection role="institutes" number="">ZIB Allgemein</collection>
    <collection role="projects" number="OPTINVEST">OPTINVEST</collection>
    <file>https://opus4.kobv.de/opus4-zib/files/418/SC-99-30.ps</file>
    <file>https://opus4.kobv.de/opus4-zib/files/418/SC-99-30.pdf</file>
  </doc>
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