What is the Opportunity Cost of Mean-Variance Investment Strategies?

DOI10.1287/mnsc.39.5.578zbMath0783.90013OpenAlexW1980453963MaRDI QIDQ4274642

Yusif E. Simaan

Publication date: 2 January 1994

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.39.5.578

zbMATH Keywords

financeportfolio selectiondegree of risk aversionmean- variance investment strategiesPearson type three distribution

Mathematics Subject Classification ID

Related Items (11)

Auctioning risk: the all-pay auction under mean-variance preferences ⋮ The likelihood of various stock market return distributions. I: Principles of inference ⋮ Approximating exact expected utility via portfolio efficient frontiers ⋮ Reconciling mean-variance portfolio theory with non-Gaussian returns ⋮ More possessions, more worry ⋮ Employee stock ownership and diversification ⋮ Mean-variance approximations to expected utility ⋮ The opportunity cost of mean-variance choice under estimation risk ⋮ Goal programming models and their duality relations for use in evaluating security portfolio and regression relations ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior ⋮ Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility

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