On Mean-Variance Analysis
AbstractThis 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. Thus, the optimization problem is reduced to a well posed quadratic program. The methodology developed in this paper can be also applied to pricing and hedging in incomplete markets.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1102.5078.
Date of creation: Feb 2011
Date of revision: Nov 2011
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Web page: http://arxiv.org/
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