Convex duality in constrained mean-variance portfolio optimization

Convex Duality in Constrained Mean-variance Portfolio Optimization

Convex Duality in Constrained Portfolio Optimization

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Convex duality in mean-variance hedging under convex trading constraints

We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way. To obtain the existence of a solution, we first establish the closedness in L2 of the space of all g...

Portfolio-optimization by the mean-variance-approach

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Portfolio performance evaluation in modified mean-variance models

The present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Huge amounts of money are being invested in financial market. As a result, portfolio performance evaluation has created a great deal of interest among people. We kn...