In this paper we offer an alternative approach to the standard portfolio selection problem following the mean-variance approach to financial decisions under uncertainty originally proposed by de Finetti. Beside being a simple and natural way, alternative to the classical one, to derive the critical line algorithm, our approach throws new light on the efficient frontier and a clear characterization of its properties. We also address the problem with additional threshold constraints.
New insights on the mean-variance portfolio selection from de Finetti's suggestions
PRESSACCO, Flavio;SERAFINI, Paolo
2009-01-01
Abstract
In this paper we offer an alternative approach to the standard portfolio selection problem following the mean-variance approach to financial decisions under uncertainty originally proposed by de Finetti. Beside being a simple and natural way, alternative to the classical one, to derive the critical line algorithm, our approach throws new light on the efficient frontier and a clear characterization of its properties. We also address the problem with additional threshold constraints.File in questo prodotto:
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