On the validity of the quadratic utility approach in mean-variance portfolio analysis: An empirical test

De Economist ◽  
1979 ◽  
Vol 127 (3) ◽  
pp. 422-445 ◽  
Author(s):  
D. K. Bhattacharyya
Keyword(s):  
Empirical Test ◽  
Portfolio Analysis ◽  
Quadratic Utility ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Utility Approach

Dynamic mean-variance portfolio analysis under model risk

2009 ◽  
Vol 12 (4) ◽  
pp. 91-115 ◽  
Author(s):  
Daniel Kuhn ◽  
Panos Parpas ◽  
Berç Rustem ◽  
Raquel Fonseca
Keyword(s):  
Portfolio Analysis ◽  
Model Risk ◽  
Mean Variance Portfolio ◽  
Mean Variance

The general mean-variance portfolio selection problem

1994 ◽  
Vol 347 (1684) ◽  
pp. 543-549 ◽  
Keyword(s):  
Portfolio Selection ◽  
Portfolio Analysis ◽  
Selection Problem ◽  
Analysis Problem ◽  
Portfolio Selection Problem ◽  
Mean Variance Portfolio ◽  
Mean Variance

This paper states the ‘general mean-variance portfolio analysis problem’ and its solution, and briefly discusses its use in practice.

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