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    Markowitz Revisited: Single-Period and Multi-Period Mean-Variance Models (1999)
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    Publication Date: 2021-02-01
    Description: Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We investigate in detail the interplay between objective and constraints in a number of single-period variants, including semi-variance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development and theoretical analysis of multi-period models based on scenario trees. A key property is the possibility to remove surplus money in future decisions, yielding approximate downside risk minimization.
    Keywords: ddc:000
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/postscript
    Format: application/pdf
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