{"title":"拟凹单调归一化泛函的二阶Frechet微分","authors":"Y. Shirai","doi":"10.2139/ssrn.2361563","DOIUrl":null,"url":null,"abstract":"The theory of mean-variance based portfolio selection is a cornerstone of modern asset management. It rests on the assumption that rational investors choose among risky assets purely on the basis of expected return and risk, with risk measured as variance. The aim of this paper is to provide a foundation to such assumption in a general context of decision under uncertainty.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Second Order Frechet Differential of Quasiconcave Monotone Normalized Functionals\",\"authors\":\"Y. Shirai\",\"doi\":\"10.2139/ssrn.2361563\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The theory of mean-variance based portfolio selection is a cornerstone of modern asset management. It rests on the assumption that rational investors choose among risky assets purely on the basis of expected return and risk, with risk measured as variance. The aim of this paper is to provide a foundation to such assumption in a general context of decision under uncertainty.\",\"PeriodicalId\":129812,\"journal\":{\"name\":\"Financial Engineering eJournal\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-12-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Engineering eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2361563\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Engineering eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2361563","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Second Order Frechet Differential of Quasiconcave Monotone Normalized Functionals
The theory of mean-variance based portfolio selection is a cornerstone of modern asset management. It rests on the assumption that rational investors choose among risky assets purely on the basis of expected return and risk, with risk measured as variance. The aim of this paper is to provide a foundation to such assumption in a general context of decision under uncertainty.
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