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Optimal policy for a time consistent mean-variance model with regime switching
Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234
Persistent link: https://www.econbiz.de/10011567026
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Buy now and price later : supply contracts with time-consistent mean-variance financial hedging
Li, Qiang; Niu, Baozhuang; Chu, Lap Keung; Ni, Jian; … - In: European journal of operational research : EJOR 268 (2018) 2, pp. 582-595
Persistent link: https://www.econbiz.de/10011852650
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Can investors gain from investing in certain sectors?
Narayan, Paresh Kumar; Ali Ahmed, Huson Joher; Narayan, … - In: Journal of international financial markets, … 48 (2017), pp. 160-177
Persistent link: https://www.econbiz.de/10011892344
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Revisiting seasonality in overnight and daytime returns in the U.S. equity markets : mean-variance, sharpe ratio and stochastic dominance approaches
Monteiro, João Dionísio; Ferreira, Ernesto Raúl - In: Finance a úvěr 69 (2019) 4, pp. 384-414
Persistent link: https://www.econbiz.de/10012137448
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Mean-variance optimal reinsurance-investment strategy in continuous time
Peng, Daheng; Zhang, Fang - In: Quantitative finance and economics 1 (2017) 3, pp. 320-333
Persistent link: https://www.econbiz.de/10012137819
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Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
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Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Litterman, mean-variance, and naïve diversification approaches
Bessler, Wolfgang; Opfer, Heiko; Wolff, Dominik - In: The European journal of finance 23 (2017) 1/3, pp. 1-30
Persistent link: https://www.econbiz.de/10011736211
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Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix
Costa, Oswaldo Luiz do Valle; Oliveira Ribeiro, Celma de; … - In: Energy economics 64 (2017), pp. 158-169
Persistent link: https://www.econbiz.de/10011758103
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The impacts of joint energy and output prices uncertainties in a mean-variance framework
Alghalith, Moawia; Niu, Cuizhen; Wong, Wing Keung - In: Theoretical economics letters 7 (2017) 5, pp. 1108-1120
Persistent link: https://www.econbiz.de/10011748647
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Optimal hedging with basis risk under mean-variance criterion
Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo - In: Insurance / Mathematics & economics 75 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011740687