The Times of Israel

Mean-Variance Efficiency Ineffective When Geopolitical Shocks Hit Global Markets

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JSTOR Daily

On the Endogeneity of the Mean-Variance Efficient Frontier

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 ...
Risk

Deep learning for efficient frontier calculation in finance

We propose deep neural network algorithms to calculate the efficient frontier in mean–variance and mean–conditional value-at-risk (mean–CVaR) portfolio optimization problems. Starting with the ...
JSTOR Daily

Short Sales Restrictions and Kinks on the Mean Variance Frontier

With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point ...
Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...