Diversification has been called the oldest trick in the investment book. So old that to construct a diversified portfolio, it is still common to apply mean-variance optimisation, a 70-year-old ...

The mean-variance optimization suggested by Henry Markowitz represents a path-breaking work, the beginning of the so-called Modern Portfolio Theory. This theory has been criticized by some researchers ...

This is a preview. Log in through your library . Abstract This paper applies Talpaz, Harpaz, and Penson's (THP) (1983) mean-variance-instability portfolio selection model to eight selected Taiwan ...

We start with a discussion of diversification theories based on the findings of a scientific article called "The Dividend Puzzle". While inexperienced investors should stick to ETFs, there's a clear ...

Portfolio optimisation and asset allocation strategies have evolved into sophisticated tools for managing financial risks while striving for superior returns. Recent advancements integrate classical ...

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This paper is concerned with multi-period asset–liability mean–variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves ...

Samuelson, Paul A., and Robert C. Merton. "Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions." Journal of Finance 29, no. 1 (March 1974): 27–40.