Understanding the outperformance of the minimum variance portfolio
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DOI: 10.1016/j.frl.2017.09.005
Abstract: Minimum variance portfolio (MVP) seems to outperform the mean-variance optimized portfolio on a risk-adjusted basis. Scherer (2011) conjectures that the MVP tilts toward low beta and low idiosyncratic risk assets. Consequently, the MVP capitalizes on… read more here.
Keywords: yanushevsky; variance portfolio; portfolio; variance ... See more keywords
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2017045
Abstract: This paper is concerned with studying an optimal multi-period asset-liability mean-variance portfolio selection with probability constraints using mean-field formulation without embedding technique. We strictly derive its analytical optimal strategy and efficient frontier. Numerical examples shed… read more here.
Keywords: multi period; mean variance; portfolio selection; variance portfolio ... See more keywords