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Journal articles on the topic 'Mean-variance Analysis'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Sharma, Rajesh. "Some more inequalities for arithmetic mean, harmonic mean and variance." Journal of Mathematical Inequalities, no. 1 (2008): 109–14. http://dx.doi.org/10.7153/jmi-02-11.

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2

Ritchken, Peter H. "Enhancing mean-variance analysis with options." Journal of Portfolio Management 11, no. 3 (1985): 67–71. http://dx.doi.org/10.3905/jpm.1985.409003.

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3

Jorion, Philippe. "Mean/Variance Analysis of Currency Overlays." Financial Analysts Journal 50, no. 3 (1994): 48–56. http://dx.doi.org/10.2469/faj.v50.n3.48.

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4

Levy, Haim, and Moshe Levy. "Prospect Theory and Mean-Variance Analysis." Review of Financial Studies 17, no. 4 (2003): 1015–41. http://dx.doi.org/10.1093/rfs/hhg062.

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5

Raugh, Michael T., and Giulio Seccia. "Mean-variance analysis in temporary equilibrium." Research in Economics 55, no. 3 (2001): 331–45. http://dx.doi.org/10.1006/reec.2000.0258.

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6

Ahn, Hyungsok, and Paul Wilmott. "Stochastic Volatility and Mean-variance Analysis." Wilmott 2003, no. 6 (2003): 84–90. http://dx.doi.org/10.1002/wilm.42820030620.

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7

Levy, Haim. "Mean–Variance Analysis, the Geometric Mean, and Horizon Mismatch." Journal of Portfolio Management 50, no. 8 (2024): 161–81. http://dx.doi.org/10.3905/jpm.2024.50.8.161.

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8

Lima de Paulo, Wanderlei, Marta Ines Velazco Fontova, and Renato Canil de Souza. "An analysis of a mean-variance enhanced index tracking problem with weights constraints." Investment Management and Financial Innovations 15, no. 4 (2018): 183–92. http://dx.doi.org/10.21511/imfi.15(4).2018.15.

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In this paper, the authors deal with a mean-variance enhanced index tracking (EIT) problem with weights constraints. Using a shrinkage approach, they show that constructing the constrained EIT portfolio is equivalent to constructing the unconstrained EIT portfolio. This equivalence allows to study the effect of weights constraints on the covariance matrix and on the EIT portfolio. In general, the effects of weights constraints on the EIT portfolio are different from those observed in the case of global minimum variance portfolio. Finally, the authors present a numerical asset allocation exampl

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9

Gan, F. F. "Joint monitoring of process mean and variance." Nonlinear Analysis: Theory, Methods & Applications 30, no. 7 (1997): 4017–24. http://dx.doi.org/10.1016/s0362-546x(97)00224-1.

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10

Xu, Ganlin, and Thomas Anichini. "Mean-Variance Analysis in Post-Retirement Planning." Journal of Retirement 3, no. 3 (2015): 62–76. http://dx.doi.org/10.3905/jor.2016.3.3.062.

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11

Epstein, Larry G. "Decreasing Risk Aversion and Mean-Variance Analysis." Econometrica 53, no. 4 (1985): 945. http://dx.doi.org/10.2307/1912662.

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12

Roll, Richard. "A Mean/Variance Analysis of Tracking Error." Journal of Portfolio Management 18, no. 4 (1992): 13–22. http://dx.doi.org/10.3905/jpm.1992.701922.

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13

SENGUPTA, JATI K. "Adjustment costs in mean-variance efficiency analysis." International Journal of Systems Science 27, no. 6 (1996): 551–59. http://dx.doi.org/10.1080/00207729608929249.

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14

Tsan-Ming Choi, Duan Li, and Houmin Yan. "Mean–Variance Analysis for the Newsvendor Problem." IEEE Transactions on Systems, Man, and Cybernetics - Part A: Systems and Humans 38, no. 5 (2008): 1169–80. http://dx.doi.org/10.1109/tsmca.2008.2001057.

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15

Sentana, E. "Least Squares Predictions and Mean-Variance Analysis." Journal of Financial Econometrics 3, no. 1 (2005): 56–78. http://dx.doi.org/10.1093/jjfinec/nbi002.

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16

Fang, Shuhong. "A Mean–variance analysis of arbitrage portfolios." Physica A: Statistical Mechanics and its Applications 375, no. 2 (2007): 625–32. http://dx.doi.org/10.1016/j.physa.2006.10.034.

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17

Best, Michael J., and Robert R. Grauer. "Sensitivity Analysis for Mean-Variance Portfolio Problems." Management Science 37, no. 8 (1991): 980–89. http://dx.doi.org/10.1287/mnsc.37.8.980.

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18

Reisman, Haim, and Gady Zohar. "Instantaneous Mean-Variance Analysis of Bond Returns." Journal of Fixed Income 14, no. 1 (2004): 32–39. http://dx.doi.org/10.3905/jfi.2004.419551.

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19

Zakamouline, Valeri, and Steen Koekebakker. "A Generalisation of the Mean-Variance Analysis." European Financial Management 15, no. 5 (2009): 934–70. http://dx.doi.org/10.1111/j.1468-036x.2009.00483.x.

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20

Choi, Tsan-Ming, and Pui-Sze Chow. "Mean-variance analysis of Quick Response Program." International Journal of Production Economics 114, no. 2 (2008): 456–75. http://dx.doi.org/10.1016/j.ijpe.2007.06.009.

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21

Miniaci, Raffaele, and Sergio Pastorello. "Mean-variance econometric analysis of household portfolios." Journal of Applied Econometrics 25, no. 3 (2009): 481–504. http://dx.doi.org/10.1002/jae.1107.

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22

Tejaswini, Pradhan, and Jagnyaseni Rana Sai. "Problem based on Markowitz Mean, Variance Analysis." International Journal of Innovative Science and Research Technology 7, no. 4 (2022): 644–46. https://doi.org/10.5281/zenodo.6528153.

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The aim of this paper is to analysis on Markowitz Mean Variance Portfolio Theory and test how problems can be solved by this. The related data will be taken from National Stock Exchange (NSE). This research has been applied Markowitz Model on two Listed companies of National Stock Exchange by taking the data of February 2017.

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23

Bigelow, John Payne. "Consistency of mean-variance analysis and expected utility analysis." Economics Letters 43, no. 2 (1993): 187–92. http://dx.doi.org/10.1016/0165-1765(93)90035-b.

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24

Shen, Yang, and Bin Zou. "Mean-Variance Portfolio Selection in Contagious Markets." SIAM Journal on Financial Mathematics 13, no. 2 (2022): 391–425. http://dx.doi.org/10.1137/20m1320560.

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25

Kuhn, Daniel, Panos Parpas, Berç Rustem, and Raquel Fonseca. "Dynamic mean-variance portfolio analysis under model risk." Journal of Computational Finance 12, no. 4 (2009): 91–115. http://dx.doi.org/10.21314/jcf.2009.202.

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26

Liu, Ruixue, and Art B. Owen. "Estimating Mean Dimensionality of Analysis of Variance Decompositions." Journal of the American Statistical Association 101, no. 474 (2006): 712–21. http://dx.doi.org/10.1198/016214505000001410.

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27

Yang, X. B. "Analysis of Variance-Mean Relationships of Plant Diseases." Journal of Phytopathology 143, no. 9 (1995): 513–18. http://dx.doi.org/10.1111/j.1439-0434.1995.tb00655.x.

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28

Fung, William, and David A. Hsieh. "Is mean-variance analysis applicable to hedge funds?" Economics Letters 62, no. 1 (1999): 53–58. http://dx.doi.org/10.1016/s0165-1765(98)00140-2.

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29

Chen, Binbin, Shih-Feng Huang, and Guangming Pan. "High dimensional mean–variance optimization through factor analysis." Journal of Multivariate Analysis 133 (January 2015): 140–59. http://dx.doi.org/10.1016/j.jmva.2014.09.006.

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30

Liu, Liping. "A new foundation for the mean–variance analysis." European Journal of Operational Research 158, no. 1 (2004): 229–42. http://dx.doi.org/10.1016/s0377-2217(03)00301-1.

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31

White, D. J. "Epsilon-dominating solutions in mean-variance portfolio analysis." European Journal of Operational Research 105, no. 3 (1998): 457–66. http://dx.doi.org/10.1016/s0377-2217(97)00056-8.

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32

Korkie, Bob, and Harry J. Turtle. "A Mean-Variance Analysis of Self-Financing Portfolios." Management Science 48, no. 3 (2002): 427–43. http://dx.doi.org/10.1287/mnsc.48.3.427.7725.

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33

Martellini, Lionel, and Branko Urošević. "Static Mean-Variance Analysis with Uncertain Time Horizon." Management Science 52, no. 6 (2006): 955–64. http://dx.doi.org/10.1287/mnsc.1060.0507.

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34

Wenzelburger, Jan. "Mean-variance analysis and the Modified Market Portfolio." Journal of Economic Dynamics and Control 111 (February 2020): 103821. http://dx.doi.org/10.1016/j.jedc.2019.103821.

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35

Bensoussan, Alain, SingRu Celine, and Zhongfeng Yan. "A Mean-Variance Approach to Capital Investment Optimization." SIAM Journal on Financial Mathematics 10, no. 1 (2019): 156–80. http://dx.doi.org/10.1137/18m1176439.

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36

Hu, Ying, Xiaomin Shi, and Zuo Quan Xu. "Constrained Monotone Mean-Variance Problem with Random Coefficients." SIAM Journal on Financial Mathematics 14, no. 3 (2023): 838–54. http://dx.doi.org/10.1137/22m154418x.

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37

Li, Shuang, Shican Liu, Yanli Zhou, Yonghong Wu, and Xiangyu Ge. "Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate." Journal of Function Spaces 2020 (November 19, 2020): 1–10. http://dx.doi.org/10.1155/2020/3153297.

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In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect equilibrium strategy and propose an extended Hamilton-Jacobi-Bellman (HJB) equation to analyses the optimal control over the financial system involving stochastic interest rate and state-dependent risk aversion (SDRA) mean-variance utility. By solving the corresponding nonlinear partial differential equations (PDEs) deduced from the extended HJB equati

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38

Stephen SATCHELL and Jarrod WILCOX. "PRACTICAL INVESTMENT CHOICE WITHOUT MEAN-VARIANCE." Bankers, Markets & Investors 168, no. 1 (2022): 28. https://doi.org/10.54695/bmi.168.28.

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This paper reviews our previous published work and stresses its relevance for practitioners. We argue that modelling investment choice via utility functions is a very useful exercise but the standard approach for doing this, namely mean variance analysis, has a number of weaknesses. We offer an alternative, the generalized logarithmic utility function advocated by Rubinstein. This specification is much better suited to wealth management and to retail investment and issues of complexity and computation can be easily resolved. We discuss applications that reveal better results than the standard

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39

Sharpe, William F., and Harry M. Markowitz. "Mean-Variance Analysis in Portfolio Choice and Capital Markets." Journal of Finance 44, no. 2 (1989): 531. http://dx.doi.org/10.2307/2328607.

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40

Isong, A., A. Balu, A. Ahmed, et al. "Genetic Variance Components in Cotton by Generation Mean Analysis." BADEGGI JOURNAL OF AGRICULTURAL RESEARCH AND ENVIRONMENT 3, no. 2 (2021): 72–85. http://dx.doi.org/10.35849/bjare202102017.

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The mode of gene action for the expression of quantitative traits is decided by the predominance of variances due to additive, dominance and epistasis gene effects. In this experiment, involving four F1 crosses (TCH1716 x TCB37, TCH1705-101 x TCB209, KC2 x TCB26 and TSH0250 x DB3) of upland cotton, inheritance of major yield components by Generation Mean Analysis was investigated. The investigation revealed that both additive and dominance gene effects were involved in the expression of most of the yield contributing traits. One or more types of epistatic interaction effects were prevalent for

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41

Martellini, Lionel, and Volker Ziemann. "Extending Black-Litterman Analysis Beyond the Mean-Variance Framework." Journal of Portfolio Management 33, no. 4 (2007): 33–44. http://dx.doi.org/10.3905/jpm.2007.690604.

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42

Vukina, Tomislav, Dong‐feng Li, and Duncan M. Holthausen. "Hedging with Crop Yield Futures: A Mean‐Variance Analysis." American Journal of Agricultural Economics 78, no. 4 (1996): 1015–25. http://dx.doi.org/10.2307/1243857.

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43

Steinbach, Marc C. "Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis." SIAM Review 43, no. 1 (2001): 31–85. http://dx.doi.org/10.1137/s0036144500376650.

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44

周, 梦齐. "Statistical Analysis for Nonlinear Joint Mean and Variance Models." Statistical and Application 03, no. 02 (2014): 68–75. http://dx.doi.org/10.12677/sa.2014.32010.

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45

Ray, Pritee, and Mamata Jenamani. "Mean-variance analysis of sourcing decision under disruption risk." European Journal of Operational Research 250, no. 2 (2016): 679–89. http://dx.doi.org/10.1016/j.ejor.2015.09.028.

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46

BERMAN, ODED, and JACQUES A. SCHNABEL. "Mean-variance analysis and the single-period inventory problem." International Journal of Systems Science 17, no. 8 (1986): 1145–51. http://dx.doi.org/10.1080/00207728608926877.

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47

Fletcher, Jonathan. "Risk Reduction and Mean-Variance Analysis: An Empirical Investigation." Journal of Business Finance & Accounting 36, no. 7-8 (2009): 951–71. http://dx.doi.org/10.1111/j.1468-5957.2009.02143.x.

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48

Waggle, Doug, and Gisung Moon. "Mean‐variance analysis with REITs in mixed asset portfolios." Managerial Finance 32, no. 12 (2006): 955–68. http://dx.doi.org/10.1108/03074350610710454.

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49

MacLean, Leonard C., Yonggan Zhao, and William T. Ziemba. "Mean-variance versus expected utility in dynamic investment analysis." Computational Management Science 8, no. 1-2 (2009): 3–22. http://dx.doi.org/10.1007/s10287-009-0106-7.

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50

Okunev, John. "A Comparative Study of Gini's Mean Difference and Mean Variance in Portfolio Analysis." Accounting & Finance 28, no. 1 (1988): 1–15. http://dx.doi.org/10.1111/j.1467-629x.1988.tb00089.x.

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