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Loss-aversion with kinked linear utility functions

Best, Michael J.; Grauer, Robert R.; Hlouskova, Jaroslava; … - In: Computational economics 44 (2014) 1, pp. 45-65

Persistent link: https://www.econbiz.de/10010396232

On the sensitivity of mean-variance-efficient portfolios to changes in asset means : some analytical and computational results

Best, Michael J. - In: The review of financial studies 4 (1991) 2, pp. 315-342

Persistent link: https://www.econbiz.de/10001109997

Sensitivity analysis for mean-variance portfolio problems

Best, Michael J. - In: Management science : journal of the Institute for … 37 (1991) 8, pp. 980-989

Persistent link: https://www.econbiz.de/10001113427

Positively weighted minimum-variance portfolios and the structure of asset expected returns

Best, Michael J. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 4, pp. 513-537

Persistent link: https://www.econbiz.de/10001137817

Humans, econs and portfolio choice

Best, Michael J.; Grauer, Robert R. - In: The quarterly journal of finance 7 (2017) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10011724091

The efficient set mathematics when mean-variance problems are subject to general linear constraints

Best, Michael J.; Grauer, Robert R. - In: Journal of Economics and Business 42 (1990) 2, pp. 105-120

Persistent link: https://www.econbiz.de/10005302086

Sensitivity Analysis for Mean-Variance Portfolio Problems

Best, Michael J.; Grauer, Robert R. - In: Management Science 37 (1991) 8, pp. 980-989

This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio problems using a general form of parametric quadratic programming. The analysis allows an investor to examine how parametric changes in either the means or the right-hand side of the constraints affect the...

Persistent link: https://www.econbiz.de/10009214132

Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns

Best, Michael J.; Grauer, Robert R. - In: Journal of Financial and Quantitative Analysis 27 (1992) 04, pp. 513-537

Persistent link: https://www.econbiz.de/10005609721

The analytics of sensitivity analysis for mean-variance portfolio problems

Best, Michael J.; Grauer, Robert R. - In: International Review of Financial Analysis 1 (1992) 1, pp. 17-37

Persistent link: https://www.econbiz.de/10005229060