In this chapter, we present investment principles solely based on means and variances of asset returns and budget restrictions. To begin with, we only consider risky assets in the sense that the variances of the returns are strictly positive. We will then consider the more interesting situation where we also have the possibility to invest (or deposit) money in a risk-free asset.
CITATION STYLE
Hult, H., Lindskog, F., Hammarlid, O., & Rehn, C. J. (2012). Quadratic Investment Principles. In Springer Series in Operations Research and Financial Engineering (pp. 85–126). Springer Nature. https://doi.org/10.1007/978-1-4614-4103-8_4
Mendeley helps you to discover research relevant for your work.