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Large deviations and portfolio optimization

  • Published:1998-07 Issue:1-2 Volume:256 Page:251-283
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Sornette Didier

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference21 articles.

1. Approximating expected utility by a function of mean and variance,;Levy;Am. Econom. Rev.,1979

2. Mean–Variance versus direct utility maximization,;Kroll;J. Finance,1984

3. C.-F. Huang, R.H. Litzenberger, Foundations for Financial Economics, North-Holland, Amsterdam, 1988.

4. Portfolio selection,;Markowitz;J. Finance,1952

5. H.M. Markowitz, Portfolio Selection: Efficient Diversification of Investments, Wiley, New York, 1959; Yale University Press, New Haven, 1970.

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1. Persistence of averages in financial Markov Switching models: A large deviations approach;Physica A: Statistical Mechanics and its Applications;2020-09

2. LPPLS bubble indicators over two centuries of the S&P 500 index;Physica A: Statistical Mechanics and its Applications;2016-09

3. LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index;SSRN Electronic Journal;2016

4. Multi-moment Method for Portfolio Management: Generalised Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets;Multi-moment Asset Allocation and Pricing Models;2015-08-28

5. Optimal hedging via large deviation;Physica A: Statistical Mechanics and its Applications;2013-08
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