𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Optimal capital allocation based on the Tail Mean–Variance model

✍ Scribed by Xu, Maochao; Mao, Tiantian

Book ID
121193390
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
455 KB
Volume
53
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A new optimal portfolio selection strate
A new optimal portfolio selection strategy based on a quadratic form mean–variance model with transaction costs
✍ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 170 KB

## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield

Optimal Model of Strip-and-Roll Hedge ba
Optimal Model of Strip-and-Roll Hedge based on the Min-Variance
✍ Guo-tai CHI; Zhong-yuan YANG 📂 Article 📅 2009 🏛 Elsevier ⚖ 210 KB

When the longest holding period of futures contracts is shorter than the hedging period, the hedger has to use the overlap of two or more futures contracts to hedge for the spot. In this article, using the shorter futures contract-by-stack to construct the hedging portfolio, which makes the time of