Concepedia

Constrained Mean-variance Analysis

Constrained Mean-Variance Analysis is a portfolio optimization method that extends the classical mean-variance framework by incorporating explicit constraints—such as limits on asset weights, turnover, or risk exposure—to reflect practical investment limitations and institutional policies.

22

Publications

1.6K

Citations

48

Authors

40

Institutions

Publications per year

2017–2026

5

Parents

Publications

22

A Mean/Variance Analysis of Tracking Error

Richard Roll · The Journal of Portfolio Management · 1992 · 764 citations

, , +17

Dynamic mean-variance problem with constrained risk control for the insurers

Lihua Bai, Huayue Zhang · Mathematical Methods of Operations Research · 2008 · 135 citations

, , +14

A new method for mean-variance portfolio optimization with cardinality constraints

Francesco Cesarone, Andrea Scozzari, Fabio Tardella · Annals of Operations Research · 2012 · 131 citations

, , +15

The efficient set mathematics when mean-variance problems are subject to general linear constraints

Michael J. Best, Robert R. Grauer · Journal of Economics and Business · 1990 · 87 citations

, , +12

Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer

Junna Bi, Junyi Guo · Journal of Optimization Theory and Applications · 2012 · 64 citations

, , +16

1–5 of 22

Authors

48

  1. ES
    Enrique Sentana

    Centro de Estudios Monetarios y Financieros, Spain

    2 publications · 50 citations

    2

    h-index

  2. HJ
    Hanqing Jin

    University of Oxford, United Kingdom

    1 publications · 41 citations

    1

    h-index

  3. GJ
    Gordon J. Alexander

    University of Minnesota, United States

    1 publications · 10 citations

    1

    h-index

  4. MA
    Mazin A. M. Al Janabi

    United Arab Emirates University, United Arab Emirates

    1 publications · 19 citations

    1

    h-index

  5. FG
    Francis Gupta

    Morgan Stanley (United States), United States

    1 publications · 27 citations

    1

    h-index

1–5 of 48

Institutions

40

  1. Tianjin University

    Tianjin, China

    2 h-index

    2 publications

    61 citations

  2. Nankai University

    Tianjin, China

    2 h-index

    3 publications

    334 citations

  3. National Central University

    Taoyuan City, Taiwan

    1 h-index

    2 publications

    44 citations

  4. Ministry of Education of the People's Republic of China

    Beijing, China

    1 h-index

    1 publications

    40 citations

  5. Illinois Institute of Technology

    Chicago, United States

    1 h-index

    1 publications

    41 citations

  6. École Normale Supérieure - PSL

    Paris, France

    1 h-index

    1 publications

    13 citations

  7. George Washington University

    Washington, United States

    1 h-index

    1 publications

    10 citations

  8. University of Minnesota

    Minneapolis, United States

    1 h-index

    1 publications

    10 citations

1–8 of 40

Venues

  1. SSRN Electronic Journal

    Repository · 3 publications · 53 citations

    3

    h-index

  2. The Journal of Portfolio Management

    JPM · 2 publications · 791 citations

    2

    h-index

  3. Mathematical Finance

    1 publications · 41 citations

    1

    h-index

  4. The Journal of Investing

    1 publications · 10 citations

    1

    h-index

  5. Computational Statistics & Data Analysis

    CSDA · 1 publications · 42 citations

    1

    h-index

1–5