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On Mean-Variance Analysis
Journal article

On Mean-Variance Analysis

Abstract

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it. Thus, the optimization problem is reduced to a well posed quadratic program. The methodology developed in this paper can be also applied to pricing and hedging in incomplete markets.

Authors

Li Y; Pirvu TA

Journal

, , ,

Publication Date

February 24, 2011

DOI

10.48550/arxiv.1102.5078
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