MEAN-VARIANCE AND SAFETY-FIRST APPROACHES AND THEIR EXTENSIONS

William T. Ziemba and Raymond G. Vickson
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William T. Ziemba: University of British Columbia, Canada
Raymond G. Vickson: University of Waterloo, Canada

Chapter 14 in Stochastic Optimization Models in Finance, 2006, pp 215-266 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe 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

Keywords: Stochastics; Stochastic Optimization Models; Finance (search for similar items in EconPapers)
JEL-codes: C4 C5 C6 (search for similar items in EconPapers)
Date: 2006
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