Simplified mean-variance portfolio optimisation
type: Item
instance of: scholarly article
title: Simplified mean-variance portfolio optimisation
zbMATH Open document ID: 1264.91115
author: Claudio Fontana
author: Martin Schweizer
published in: Mathematics and Financial Economics
publication date: 2013-02-26T00:00:00Z
full work available at URL: http://hdl.handle.net/20.500.11850/59845
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6139067
zbMATH Keywords: mean-variance
zbMATH Keywords: portfolio choice
zbMATH Keywords: hedging
zbMATH Keywords: indifference valuation
zbMATH Keywords: Markowitz problem
zbMATH Keywords: two-fund separation
zbMATH Keywords: no approximate profits
zbMATH Keywords: minimum variance
zbMATH Keywords: Sharpe ratio
MaRDI profile type: Publication
OpenAlex ID: W3122519464
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DOI: 10.1007/S11579-012-0067-4
description: scientific article; zbMATH DE number 6139067