A new media optimizer based on the mean-variance model
In the financial markets, there is a well established portfolio optimization model called generalized mean-variance model (or generalized Markowitz model). This model considers that a typical investor, while expecting returns to be high, also expects returns to be as certain as possible. In this pap...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2007-01-01
|
| Series: | Pesquisa Operacional |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382007000300003 |