IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Approximating Expected Utility by a Function of Mean and Variance"

by Levy, H & Markowtiz, H M

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Edouard Challe, 2007. "Endogenous Participation Risk in Speculative Markets," Post-Print halshs-00170887, HAL.
  2. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
  3. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
  4. Geiger, Gebhard, 2002. "On the statistical foundations of non-linear utility theory: The case of status quo-dependent preferences," European Journal of Operational Research, Elsevier, vol. 136(2), pages 449-465, January.
  5. Stephen Satchell & David Damant & Soosung Hwang, 2000. "Exponential risk measure with application to UK asset allocation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 127-152.
  6. Guo, Xu & Lien, Donald & Wong, Wing-Keung, 2015. "Good Approximation of Exponential Utility Function for Optimal Futures Hedging," MPRA Paper 66841, University Library of Munich, Germany.
  7. Andrea Morone, 2005. "Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment," Papers on Strategic Interaction 2005-20, Max Planck Institute of Economics, Strategic Interaction Group.
  8. Phillips Peter J, 2011. "Lone Wolf Terrorism," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 17(1), pages 1-31, March.
  9. Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
  10. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.
  11. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2009. "Electricity portfolio management : Optimal peak/off-peak allocations," Other publications TiSEM f880b2e6-c56c-483c-9334-9, Tilburg University, School of Economics and Management.
  12. Peter Phillips, 2011. "Terrorists’ Equilibrium Choices When No Attack Method is Riskless," Atlantic Economic Journal, International Atlantic Economic Society, vol. 39(2), pages 129-141, June.
  13. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  14. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2014. "Moment conditions for Almost Stochastic Dominance," Economics Letters, Elsevier, vol. 124(2), pages 163-167.
  15. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
  16. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  17. Fung, William & Hsieh, David A., 1999. "Is mean-variance analysis applicable to hedge funds?," Economics Letters, Elsevier, vol. 62(1), pages 53-58, January.
  18. Marie Briere & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2015. "Towards Greater Diversification in Central Bank Reserves," Working Papers CEB 15-051, ULB -- Universite Libre de Bruxelles.
  19. Li, Chenguang & Sexton, Richard J., 2009. "Impacts of Retailers’ Pricing Strategies for Produce Commodities on Farmer Welfare," 2009 Conference, August 16-22, 2009, Beijing, China 51720, International Association of Agricultural Economists.
  20. Gerlinde Fellner & Werner Güth & Boris Maciejovsky, 2001. "Illusion of Expertise in Portfolio Decisions - An Experimental Approach -," Papers on Strategic Interaction 2001-02, Max Planck Institute of Economics, Strategic Interaction Group.
  21. Kramer, Randall A. & Pope, Rulon D., 1980. "The Benefits And Costs Of Participation In Farm Commodity Programs: A Stochastic Dominance Analysis," Working Papers 225685, University of California, Davis, Department of Agricultural and Resource Economics.
  22. Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance 0501003, EconWPA.
  23. Gomez-Limon, Jose A. & Arriaza, Manuel & Riesgo, Laura, 2003. "An MCDM analysis of agricultural risk aversion," European Journal of Operational Research, Elsevier, vol. 151(3), pages 569-585, December.
  24. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
  25. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
  26. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  27. repec:ebl:ecbull:v:3:y:2008:i:40:p:1-7 is not listed on IDEAS
  28. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
  29. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3382-3398.
  30. Chemla, Gilles & Porchet, Arnaud & Aïd, René & Touzi, Nizar, 2011. "Hedging and vertical integration in electricity markets," Economics Papers from University Paris Dauphine 123456789/11029, Paris Dauphine University.
  31. Oscar De la Torre Torres., 2013. "Orthogonal garch matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 39(2), pages 119-144, Julio-Dic.
  32. P. Herings & Felix Kubler, 2007. "Approximate CAPM When Preferences are CRRA," Computational Economics, Society for Computational Economics, vol. 29(1), pages 13-31, February.
  33. Corani, G. & Antonucci, A., 2014. "Credal ensembles of classifiers," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 818-831.
  34. Pennings, Joost M. E. & Garcia, Philip, 2004. "Hedging behavior in small and medium-sized enterprises: The role of unobserved heterogeneity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 951-978, May.
  35. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  36. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
  37. Edouard Challe, 2005. "Endogenous Participation Rick in Speculative Markets," Money Macro and Finance (MMF) Research Group Conference 2005 90, Money Macro and Finance Research Group.
  38. Levy, Moshe, 2007. "Conditions for a CAPM equilibrium with positive prices," Journal of Economic Theory, Elsevier, vol. 137(1), pages 404-415, November.
  39. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
  40. Petsakos, Athanasios & Rozakis, Stelios, 2015. "Calibration of agricultural risk programming models," European Journal of Operational Research, Elsevier, vol. 242(2), pages 536-545.
  41. Skouras, Spyros, 2007. "Decisionmetrics: A decision-based approach to econometric modelling," Journal of Econometrics, Elsevier, vol. 137(2), pages 414-440, April.
  42. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  43. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  44. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle," NBER Working Papers 6389, National Bureau of Economic Research, Inc.
  45. Andersson, Hans, 1995. "Landlords and farmers: implications of disparities in bargaining power for tenancy in agriculture," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 12(2), August.
  46. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations," ERIM Report Series Research in Management ERS-2007-089-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  47. Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar & Aïd, René, 2009. "Forward Hedging and Vertical Integration in Electricity Markets," Economics Papers from University Paris Dauphine 123456789/6395, Paris Dauphine University.
  48. Johnson, Michael & O'Connor, Ian & Malcolm, Bill, 2006. "Agribusiness Assets in Investment Portfolios," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 139794, Australian Agricultural and Resource Economics Society.
  49. Kalogeras, Nikos & Pennings, Joost M.E. & Garcia, Philip, 2006. "What Drives Strategic Behavior? A Framework to Explain and Predict SMEs' Transition to Sustainable Production Systems," 2006 Annual meeting, July 23-26, Long Beach, CA 21354, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  50. Dahlquist, Magnus & Farago, Adam & Tédongap, Roméo, 2015. "Asymmetries and Portfolio Choice," CEPR Discussion Papers 10706, C.E.P.R. Discussion Papers.
  51. Stelios Arvanitis & Mark Hallam & Thierry Post, 2015. "Stochastic Spanning," Koç University-TUSIAD Economic Research Forum Working Papers 1505, Koc University-TUSIAD Economic Research Forum.
  52. Conniffe, Denis & O'Neill, Donal, 2012. "An Alternative Explanation for the Variation in Reported Estimates of Risk Aversion," IZA Discussion Papers 6877, Institute for the Study of Labor (IZA).
  53. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  54. Gomez-Limon, Jose Antonio & Riesgo, Laura & Arriaza Balmón, Manuel, 2002. "Agricultural Risk Aversion Revisited: A Multicriteria Decision-Making Approach," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24827, European Association of Agricultural Economists.
  55. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
  56. Satyanarayan, Sudhakar & Somensatto, Eduardo, 1997. "Tradeoffs from hedging oil pricerisk in Ecuador," Policy Research Working Paper Series 1792, The World Bank.
  57. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  58. Purdy, Barry M. & Langemeier, Michael R. & Featherstone, Allen M., 1997. "Financial Performance, Risk, And Specialization," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 29(01), July.
  59. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Elger, Thomas & Nilsson, Birger, 2007. "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK," Working Papers 2008:1, Lund University, Department of Economics.
  60. Lafrance, Robert, 1983. "Évaluation de l’hypothèse de la moyenne-variance : une application au portefeuille des banques canadiennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 59(1), pages 20-37, mars.
  61. Bigman, David, 1995. "Approximation methods for ranking risky investment alternatives," Agricultural Economics, Blackwell, vol. 12(1), pages 1-9, April.
  62. Andersson, H., 1995. "Landlords and farmers: implications of disparities in bargaining power for tenancy in agriculture," Agricultural Economics, Blackwell, vol. 12(2), pages 151-162, August.
  63. Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
  64. Arnade, Carlos Anthony & Sparks, Amy, 1993. "Chile's agricultural diversification," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 9(1), July.
  65. Petsakos, Athanasios & Rozakis, Stelios, 2011. "Integrating risk and uncertainty in PMP models," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114762, European Association of Agricultural Economists.
  66. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
  67. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
  68. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
  69. repec:bai:series:wp0019 is not listed on IDEAS
  70. Flavin, Marjorie & Yamashita, Takashi, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series qt89x293v9, Department of Economics, UC San Diego.
  71. Piet Rietveld & Erhan Demirel & Jos van Ommeren, 2011. "Coping with uncertainty in the inland navigation market: the impact of climate change," ERSA conference papers ersa11p85, European Regional Science Association.
  72. Xue‐Zhong He & Lei Shi, 2012. "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 71-93, 03.
  73. Chang-Tesh Hsieh & Iskandar Hamwi & Tim Hudson, 2002. "An inflation-hedging portfolio selection model," International Advances in Economic Research, International Atlantic Economic Society, vol. 8(1), pages 20-34, February.
  74. repec:aia:aiaswp:123 is not listed on IDEAS
  75. Simaan, Yusif, 2014. "The opportunity cost of mean–variance choice under estimation risk," European Journal of Operational Research, Elsevier, vol. 234(2), pages 382-391.
  76. Estrada, Javier, 2003. "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers D/491, IESE Business School.
  77. Geoffrey Poitras & John Heaney, 1999. "Skewness preference, mean-variance and the demand for put options," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 20(6), pages 327-342.
  78. Bill Woodland & Linda Woodland, 1999. "Expected utility, skewness, and the baseball betting market," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 337-345.
  79. Carlos Vidal-Meliá & Inmaculada Domínguez-Fabián & María del Carmen Boado-Penas, . "Notional Defined Contribution Accounts (NDCs): Solvency and Risk; Application to the Case of Spain," Studies on the Spanish Economy 226, FEDEA.
  80. Hammad A. Siddiqi, 2006. "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers 22279, East Asian Bureau of Economic Research.
  81. Shlomo Yitzhaki, 2003. "Gini’s Mean difference: a superior measure of variability for non-normal distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 285-316.
  82. Demet Beton & Glenn Jenkins, 2008. "Migration from Turkey and the Uncertainty of the Accession of Turkey to the EU," Working Papers 1182, Queen's University, Department of Economics.
  83. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.
  84. Fritz, Oliver, 1999. "Optimal Management of a Regional Income and Pollution Portfolio," ERSA conference papers ersa99pa187, European Regional Science Association.
  85. Johnson, Michael & Malcolm, Bill & O'Connor, Ian, 2006. "The Role of Agribusiness Assets in Investment Portfolios," Australasian Agribusiness Review, University of Melbourne, Melbourne School of Land and Environment, vol. 14.
  86. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.
  87. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
  88. Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
  89. Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, Open Access Journal, vol. 1(3), pages 101-118, November.
  90. repec:hal:journl:halshs-00336475 is not listed on IDEAS
  91. Friedman, Daniel & Abraham, Ralph, 2008. "Bubblesandcrashes:Gradientdynamicsinï¬nancial markets," Santa Cruz Department of Economics, Working Paper Series qt3905j8kq, Department of Economics, UC Santa Cruz.
  92. Phillips Peter J, 2012. "The lone wolf terrorist: sprees of violence," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 18(3), pages 1-3, December.
  93. Levy, Haim & Levy, Moshe, 2014. "The home bias is here to stay," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 29-40.
  94. Avi Dor & William Encinosa, 2004. "How Does Cost-Sharing Affect Drug Purchases? Insurance Regimes in the Private Market for Prescription Drugs," NBER Working Papers 10738, National Bureau of Economic Research, Inc.
  95. Robison, Lindon J. & Hanson, Steven D., 1995. "Analyzing Firm Response to Risk Using Mean-Variance Models," Staff Papers 201207, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  96. António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF - Faculdade de Economia, Universidade de Coimbra.
  97. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
  98. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
  99. Burton, Michael P. & Rigby, Dan, 2012. "The Market for Essays," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152195, Australian Agricultural and Resource Economics Society.
  100. Diamond, Harvey & Gelles, Gregory M., 1995. "On an asymptotic property of expected utility," Economics Letters, Elsevier, vol. 47(3-4), pages 305-309, March.
  101. Didrik Flåm, Sjur, 2012. "Coupled projects, core imputations, and the CAPM," Journal of Mathematical Economics, Elsevier, vol. 48(3), pages 170-176.
  102. Kritzman, Mark & Page, Sébastien & Myrgren, Simon, 2007. "Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic," Working papers 37153, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  103. Jonathan Dark, 2005. "A Critique of Minimum Variance Hedging," Accounting Research Journal, Emerald Group Publishing, vol. 18(1), pages 40-49, June.
  104. Friedman, Daniel & Abraham, Ralph, 2009. "Bubbles and crashes: Gradient dynamics in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 922-937, April.
  105. Bigman, David, 1995. "Approximation methods for ranking risky investment alternatives," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 12(1), April.
  106. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 817-830, September.
  107. Estrada, Javier, 2003. "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers D/493, IESE Business School.
  108. Xia, Yusen & Wang, Shouyang & Deng, Xiaotie, 2001. "A compromise solution to mutual funds portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 134(3), pages 564-581, November.
  109. Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
  110. Gouzaye, Amadou & Vitale, Jeffrey D. & Epplin, Francis M. & Adam, Brian D. & Stoecker, Arthur L., 2013. "The Value of Price Stabilization Policy for Cotton Producers in Burkina Faso," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 142882, Southern Agricultural Economics Association.
  111. Rigby, Dan & Burton, Michael & Balcombe, Kelvin & Bateman, Ian & Mulatu, Abay, 2015. "Contract cheating & the market in essays," Journal of Economic Behavior & Organization, Elsevier, vol. 111(C), pages 23-37.
  112. Berck, Peter, 1980. "Portfolio Theory and the Demand for Futures: theory and the case of California cotton," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt58j4t4qp, Department of Agricultural & Resource Economics, UC Berkeley.
  113. Diamond, Harvey & Gelles, Gregory, 1999. "Gaussian approximation of expected utility," Economics Letters, Elsevier, vol. 64(3), pages 301-307, September.
  114. M. Glawischnig & I. Seidl, 2013. "Portfolio optimization with serially correlated, skewed and fat tailed index returns," Central European Journal of Operations Research, Springer, vol. 21(1), pages 153-176, January.
  115. Richard D. Farmer, 2006. "Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 699-722, Fall.
  116. Jarrod Wilcox & Frank Fabozzi, 2009. "A Discretionary Wealth Approach to Investment Policy," Yale School of Management Working Papers amz2434, Yale School of Management.
  117. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.