Mean-variance-time: An extension of Markowitz's mean-variance portfolio theory
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DOI: 10.1016/j.jeconbus.2019.105888
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Cited by:
- Oleg S. Sukharev, 2020. "Portfolio Theory in Solving the Problem Structural Choice," JRFM, MDPI, vol. 13(9), pages 1-21, September.
- Fahmy, Hany, 2022. "Clean energy deserves to be an asset class: A volatility-reward analysis," Economic Modelling, Elsevier, vol. 106(C).
- Vukovic, Darko B. & Maiti, Moinak & Frömmel, Michael, 2022. "Inflation and portfolio selection," Finance Research Letters, Elsevier, vol. 50(C).
- Fahmy, Hany, 2023. "Satiation, habit formation, and other temporal anomalies: Extending the choice theory to multiple neighborhoods of time," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 163-173.
- Spyridon D. Mourtas & Vasilios N. Katsikis, 2022. "V-Shaped BAS: Applications on Large Portfolios Selection Problem," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1353-1373, December.
- Ossa González, Genjis A., 2023. "Comparación de los modelos de Black-Litterman, Markowitz y CAPM en la estimación de los rendimientos esperados en el mercado de renta variable en Colombia," Revista Estrategia Organizacional, Universidad Nacional Abierta y a Distancia, vol. 12(2), pages 29-53, October.
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More about this item
Keywords
Portfolio selection; Mean-variance portfolio theory; Uncertain time horizon; Overreaction; Portfolio duration;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
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