Similar Search Results

Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection

Bernard, Carole - 2013

We first study mean-variance efficient portfolios when there are no trading constraints and show that optimal strategies perform poorly in bear markets. We then assume investors use a stochastic benchmark (linked to the market) as a reference portfolio. We derive mean-variance efficient...

Persistent link: https://www.econbiz.de/10013090033

Optimal Portfolios Under Worst-Case Scenarios

Bernard, Carole - 2013

In standard portfolio theories such as Mean-Variance optimization, Expected Utility Theory, Rank Dependent Utility … Theory, Yaari's Dual Theory and Cumulative Prospect Theory, the worst outcomes for optimal strategies occur when the market … corresponding to a stressed financial market. We provide a framework that maintains the stylized features of the SP/A theory while …

Persistent link: https://www.econbiz.de/10013073500

Asset Risk Management of Participating Contracts

Bernard, Carole - 2017

In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical insurance policies sold worldwide.The payoff of a participating policy is linked to the portfolio or the surplus of the insurance company. We...

Persistent link: https://www.econbiz.de/10012963607

Optimal Portfolio Under State-Dependent Expected Utility

Bernard, Carole - 2018

We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point...

Persistent link: https://www.econbiz.de/10012926284

Optimal Portfolio Choice with Benchmarks

Bernard, Carole - 2017

We construct an algorithm that makes it possible to numerically obtain an investor's optimal portfolio under general preferences. In particular, the objective function and risks constraints may be driven by benchmarks (reflecting state-dependent preferences). We apply the algorithm to various...

Persistent link: https://www.econbiz.de/10012957923

Optimal Strategies Under Omega Ratio

Bernard, Carole - 2019

We study optimal investment strategies under the objective of maximizing the Omega ratio, proposed by Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance assessment of investment strategies. We show that in a standard set-up of the financial market the problem is...

Persistent link: https://www.econbiz.de/10012902059

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Bernard, Carole - 2017

In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) of a portfolio of risky loans that can be justi ed given a certain amount of available information. Puccetti and Ruschendorf (2012a) and...

Persistent link: https://www.econbiz.de/10012972100

Measuring Portfolio Risk Under Partial Dependence Information

Bernard, Carole - 2017

The bounds for risk measures of a portfolio when its components have known marginal distributions but the dependence among the risks is unknown are often too wide to be useful in practice. Moreover, availability of additional dependence information, such as knowledge of some higher-order...

Persistent link: https://www.econbiz.de/10012973435

Optimal Portfolios Under a Correlation Constraint

Bernard, Carole - 2020

Pourbabaee, Kwak, and Pirvu (2016) determine the constant-mix strategy that minimizes Capital at Risk (CaR) under a negative correlation constraint with a benchmark. We extend their result to any increasing law invariant objective function without condition on the sign of the correlation. In...

Persistent link: https://www.econbiz.de/10012855501

Rationalizing Investors Choice

Bernard, Carole - 2015

Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an...

Persistent link: https://www.econbiz.de/10013034282