Based on a critical analysis of de Finetti's paper, where the mean variance approach in finance was early introduced to deal with a reinsurance problem, we offer an alternative interpretative key of such an approach to the standard portfolio selection one. We discuss analogies and differences between de Finetti's and Markowitz's geometrical approaches.
De Finetti and Markowitz mean variance approach to reinsurance and portfolio selection problems: a comparison
Paolo Serafini;Laura Ziani
2018-01-01
Abstract
Based on a critical analysis of de Finetti's paper, where the mean variance approach in finance was early introduced to deal with a reinsurance problem, we offer an alternative interpretative key of such an approach to the standard portfolio selection one. We discuss analogies and differences between de Finetti's and Markowitz's geometrical approaches.File in questo prodotto:
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