IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812773654_0014.html
   My bibliography  Save this book chapter

Mean-Variance And Safety-First Approaches And Their Extensions

In: Stochastic Optimization Models In Finance

Author

Listed:
  • William T. Ziemba

    (University of British Columbia, Canada)

  • Raymond G. Vickson

    (University of Waterloo, Canada)

Abstract

The following sections are included:The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher MomentsThe Asymptotic Validity of Quadratic Utility as the Trading Interval Approaches ZeroSAFETY-FIRST AND EXPECTED UTILITY MAXIMIZATION IN MEAN-STANDARD DEVIATION PORTFOLIO ANALYSISChoosing Investment Portfolios When the Returns Have Stable Distributions

Suggested Citation

  • William T. Ziemba & Raymond G. Vickson, 2006. "Mean-Variance And Safety-First Approaches And Their Extensions," World Scientific Book Chapters, in: William T Ziemba & Raymond G Vickson (ed.), Stochastic Optimization Models In Finance, chapter 14, pages 215-266, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812773654_0014
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812773654_0014
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812773654_0014
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Stochastics; Stochastic Optimization Models; Finance;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812773654_0014. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.