On Generalizations of Mean-Variance Model

Fu, YT

Fu, YT (reprint author), Tsinghua Univ, Dept Math, Beijing 100084, Peoples R China.

2018 INTERNATIONAL CONFERENCE ON COMPUTER INFORMATION SCIENCE AND APPLICATION TECHNOLOGY, 2019; 1168 ():

Abstract

Mean-variance analysis is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level o......

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