Simplified mean-variance portfolio optimisation

被引：9

作者：

Fontana, Claudio ^{[1
,2
]}

Schweizer, Martin ^{[3
,4
]}

机构：

[1] Politecn Milan, Dept Math, I-20133 Milan, Italy

[2] Univ Padua, Dept Pure & Appl Math, I-35121 Padua, Italy

[3] Swiss Fed Inst Technol, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland

[4] Swiss Finance Inst, CH-8006 Zurich, Switzerland

来源：

MATHEMATICS AND FINANCIAL ECONOMICS | 2012年 / 6卷 / 02期

关键词：

Mean-variance; Portfolio choice; Hedging; Indifference valuation; Markowitz problem; Two-fund separation; No approximate profits; Minimum variance; Sharpe ratio;

D O I：

10.1007/s11579-012-0067-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a simplified approach to mean-variance portfolio problems by changing their parametrisation from trading strategies to final positions. This allows us to treat, under a very tnild no-arbitrage-type assumption, a whole range of quadratic optimisation problems by simple mathematical tools in a unified and model-independent way. We provide explicit formulas for optimal positions and values, connections between the solutions to the different problems, two-fund separation results, and explicit expressions for indifference values.

引用

页码：125 / 152

页数：28

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