165 citations
- Stockholm UniversitySE8 papers
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4 papers · 1 filter
On Control Charts for Monitoring the Variance of a Time Series
Taras Lazariv, Wolfgang Schmid, Svitlana Zabolotska
In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probabi…
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asse…
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems b…
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results…