On Mean-Variance Analysis

Preprint English OPEN
Li, Yang ; Pirvu, Traian A (2011)
  • Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management
    arxiv: Computer Science::Computational Engineering, Finance, and Science | Mathematics::Optimization and Control

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it.... View more
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