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.

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Metadaten
Author:Marc C. Steinbach
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)
Published in:Appeared in: SIAM Review 43(1), 31-85 (2001)