In this paper we study an optimal insurance problem within the mean–variance framework for the case when the insured and insurer hold heterogeneous beliefs about the loss distribution. The implicit ...

The concept of constructing an investment portfolio by maximising the mean return while minimising the variance of the return was first introduced by Markowitz (1952). Instead of focusing only on the ...

The supporters of hedge funds make their case by describing the diversification benefits offered by hedge funds using the traditional mean-variance framework, which is of limited use if returns are ...