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Analytic decision rules for financial stochastic programs

Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

Persistent link: https://www.econbiz.de/10011303296

Intergenerational sharing of unhedgeable inflation risk

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Persistent link: https://www.econbiz.de/10013460026

Inherent efficiency, security markets, and the pricing of investment strategies

Zou, Liang - 2000

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …

Persistent link: https://www.econbiz.de/10011304380

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

Persistent link: https://www.econbiz.de/10011382430

Investment under risk with discrete and continuous assets

Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - 2009

This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...

Persistent link: https://www.econbiz.de/10011378329

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on … portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety … mean variance analysis with positive weights. Markowitz optimisation is then compared with various down-side investment …

Persistent link: https://www.econbiz.de/10011376286

Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016

This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...

Persistent link: https://www.econbiz.de/10011456708

Stochastic dominance : convexity and some efficiency tests

Lizyayev, Andrey M. - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...

Persistent link: https://www.econbiz.de/10011379506

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually …

Persistent link: https://www.econbiz.de/10011381581

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

Persistent link: https://www.econbiz.de/10011317459

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