摘要翻译：
本文考虑均值方差投资组合管理问题。我们研究包含主要证券和衍生证券的投资组合。这种情况下的挑战是由于投资组合的非线性。用delta-gamma近似来克服这一问题。从而将优化问题归结为一个适定的二次规划。本文提出的方法也适用于不完全市场的定价和套期保值。
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英文标题：
《On Mean-Variance Analysis》
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作者：
Yang Li and Traian A Pirvu
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it. Thus, the optimization problem is reduced to a well posed quadratic program. The methodology developed in this paper can be also applied to pricing and hedging in incomplete markets.
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PDF链接：
https://arxiv.org/pdf/1102.5078