Markowitz Revisited: Single-Period and Multi-Period Mean-Variance Models
Please always quote using this URN: urn:nbn:de:0297-zib-4183
- 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.
Author: | Marc Steinbach |
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Document Type: | ZIB-Report |
Tag: | downside risk; mean-variance analysis; multi-period model |
MSC-Classification: | 90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming |
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C20 Quadratic programming | |
Date of first Publication: | 1999/08/20 |
Series (Serial Number): | ZIB-Report (SC-99-30) |
ZIB-Reportnumber: | SC-99-30 |
Published in: | Appeared in: SIAM Review 43(1), 31-85 (2001) |