Details
| Original language | English |
|---|---|
| Pages (from-to) | 31-85 |
| Number of pages | 55 |
| Journal | SIAM review |
| Volume | 43 |
| Issue number | 1 |
| Publication status | Published - Mar 2001 |
| Externally published | Yes |
Abstract
Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We describe in detail the interplay between objective and constraints in a number of single-period variants, including semivariance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development and theoretical analysis of multiperiod models based on scenario trees. A key property is the possibility of removing surplus money in future decisions, yielding approximate downside risk minimization.
Keywords
- Downside risk, Mean-variance analysis, Multiperiod model, Stochastic optimization
ASJC Scopus subject areas
- Mathematics(all)
- Theoretical Computer Science
- Mathematics(all)
- Computational Mathematics
- Mathematics(all)
- Applied Mathematics
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: SIAM review, Vol. 43, No. 1, 03.2001, p. 31-85.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Markowitz revisited
T2 - Mean-variance models in financial portfolio analysis
AU - Steinbach, M. C.
PY - 2001/3
Y1 - 2001/3
N2 - Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We describe in detail the interplay between objective and constraints in a number of single-period variants, including semivariance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development and theoretical analysis of multiperiod models based on scenario trees. A key property is the possibility of removing surplus money in future decisions, yielding approximate downside risk minimization.
AB - Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We describe in detail the interplay between objective and constraints in a number of single-period variants, including semivariance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development and theoretical analysis of multiperiod models based on scenario trees. A key property is the possibility of removing surplus money in future decisions, yielding approximate downside risk minimization.
KW - Downside risk
KW - Mean-variance analysis
KW - Multiperiod model
KW - Stochastic optimization
UR - http://www.scopus.com/inward/record.url?scp=0035271732&partnerID=8YFLogxK
U2 - 10.1137/S0036144500376650
DO - 10.1137/S0036144500376650
M3 - Article
AN - SCOPUS:0035271732
VL - 43
SP - 31
EP - 85
JO - SIAM review
JF - SIAM review
SN - 0036-1445
IS - 1
ER -