A parametric characterization of mean–variance efficient solutions for general feasible action sets

✍ Scribed by D. J. White

• Publisher: John Wiley and Sons
• Year: 1998
• Tongue: English
• Weight: 180 KB
• Volume: 7
• Category: Article
• ISSN: 1057-9214
• DOI: 10.1002/(sici)1099-1360(199803)7:2<109::aid-mcda178>3.0.co;2-s

✦ Synopsis

In this paper we show how the mean±variance efficient solution problem may be converted to a parametric efficient solution problem with objective functions affine in the mean and second moment of the random variable of concern. Some potential uses are considered, the relationship with some other work is examined and two potential applications are given.