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Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and …, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …

Persistent link: https://www.econbiz.de/10005858020

Evolutionary Portfolio Selection with Liquidity Shocks

De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …

Persistent link: https://www.econbiz.de/10005858142

Ratchet vs Blase Investors and Asset Markets

St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

estimates are consistent with blas´ behavior and counter-cyclical risk aversion. …

Persistent link: https://www.econbiz.de/10005858307

Survival of the Fittest on Wall Street

Hens, Thorsten; SchenkHoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition ofﬁx-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...

Persistent link: https://www.econbiz.de/10005858308

Evolutionary Stable Stock Markets

Hens, Thorsten; Schenk-Hoppe, Klaus Reiner; Evstigneev, Igor - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper shows that a stock market is evolutionary stable if andonly if stocks are evaluated by expected relative dividends. Any othermarket can be invaded by portfolio rules that will gain market wealthand hence change the valuation. In the model the valuation of assetsis given by the wealth...

Persistent link: https://www.econbiz.de/10005858757

Markets Do Not Select for a Liquidity Preference as Behavior Towards Risk

Hens, Thorsten; Schenk-Hoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash...

Persistent link: https://www.econbiz.de/10005859324

An Application of Evolutionary Finance to Firms : Listed in the Swiss Market Index

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI....

Persistent link: https://www.econbiz.de/10005859332

Market Selection and Survival Investment Strategies

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payos depend on exogenous random factors. Market participants use dynamic investment strategies taking account of available information about...

Persistent link: https://www.econbiz.de/10005859376

Evolutionary Stability of Portfolio Rules in Incomplete Markets

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper studies the evolution of wealth shares of portfolio rules in incomplete markets with short-lived assets. Prices are determined endogenously. The performance of a portfolio rule in the process of repeated reinvestment of wealth is determined by the wealth share eventually conquered in...

Persistent link: https://www.econbiz.de/10005859386

Geographic versus Industry Diversification : Constraints Matter

Ehling, Paul; Ramos, Sofia B. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

attributable to the fact that industry portfolios are better suited to to eliminate the single dominant factor risk in stock …

Persistent link: https://www.econbiz.de/10005857789