TY - GEN A1 - Steinbach, Marc T1 - Markowitz Revisited: Single-Period and Multi-Period Mean-Variance Models N2 - 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. T3 - ZIB-Report - SC-99-30 KW - mean-variance analysis KW - downside risk KW - multi-period model Y1 - 1999 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-4183 ER -