Premium
A parametric characterization of mean–variance efficient solutions for general feasible action sets
Author(s) -
White D. J.
Publication year - 1998
Publication title -
journal of multi‐criteria decision analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.462
H-Index - 47
eISSN - 1099-1360
pISSN - 1057-9214
DOI - 10.1002/(sici)1099-1360(199803)7:2<109::aid-mcda178>3.0.co;2-s
Subject(s) - parametric statistics , variance (accounting) , affine transformation , mathematics , characterization (materials science) , moment (physics) , action (physics) , mathematical optimization , random variable , work (physics) , computer science , statistics , pure mathematics , engineering , mechanical engineering , materials science , physics , accounting , classical mechanics , quantum mechanics , business , nanotechnology
In this paper we show how the mean–variance efficient solution problem may be converted to a parametric efficient solution problem with objective functions affine in the mean and second moment of the random variable of concern. Some potential uses are considered, the relationship with some other work is examined and two potential applications are given. © 1998 John Wiley & Sons, Ltd.