A new media optimizer based on the mean-variance model

In the financial markets, there is a well established portfolio optimization model called generalized mean-variance model (or generalized Markowitz model). This model considers that a typical investor, while expecting returns to be high, also expects returns to be as certain as possible. In this pap...

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Veröffentlicht in:	Pesquisa Operacional 2007, Vol.27 (3), p.427-456
Hauptverfasser:	Fernandez, Pedro Jesus, Lauretto, Marcelo de Souza, Pereira, Carlos Alberto de Bragança, Stern, Julio Michael
Format:	Artikel
Sprache:	eng
Schlagworte:	OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Online-Zugang:	Volltext
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