This article was originally published on Built In by Eric Kleppen. Variance is a powerful statistic used in data analysis and machine learning. It is one of the four main measures of variability along ...

This is a preview. Log in through your library . Abstract This paper proves constructively the existence of optimal policies for maximum one-period mean-to-standard-deviation-ratio, negative ...

We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).

In this paper we study an optimal insurance problem within the mean–variance framework for the case when the insured and insurer hold heterogeneous beliefs about the loss distribution. The implicit ...

The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors ...