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Stochastic Dominance Efficiency Tests under Diversification
Kuosmanen, Timo - EconWPA - 2001
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...
Persistent link: https://www.econbiz.de/10005561692
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Mean-variance target-based optimisation in DC plan with stochastic interest rate
Menoncin, Francesco; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2013
We solve a mean-variance optimisation problem of a defined contribution pension scheme in the accumulation phase. The financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a stochastic interest rate following the Vasicek [1977]...
Persistent link: https://www.econbiz.de/10010862060
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Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes
Vigna, Elena - Centre for Research on Pensions and Welfare Policies … - 2009
We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...
Persistent link: https://www.econbiz.de/10008635813
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Fuzzy portfolio optimization model under real constraints
Liu, Yong-Jun; Zhang, Wei-Guo - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 704-711
theory, fuzzy return and liquidity are quantified by possibilistic mean, and market risk and liquidity risk are measured by …
Persistent link: https://www.econbiz.de/10010719101
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Portfolio Selection Optimization under Cumulative Prospect Theory – a parameter sensibility analysis
Coelho, Luis A.G. - Centro de Estudos e Formação Avançada em Gestão e … - 2014
The Cumulative Prospect Theory (CPT) is one of the most popular theories for evaluating the behavior of decision makers … in the context of risk and uncertainty. This theory emerged as a generalization of the Expected Utility Theory (EUT) and … being a relatively recent theory, its application has been somewhat reduced, especially when linked to optimization models …
Persistent link: https://www.econbiz.de/10010892272
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Dynamic Mean-Variance Asset Allocation
Basak, Suleyman - 2009
Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple...
Persistent link: https://www.econbiz.de/10012721416
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Robust Asset Allocation with Benchmarked Objectives
Lim, Andrew - 2009
In this paper, we introduce a new approach for finding robust portfolios when there is model uncertainty. It differs from the usual worst case approach in that a (dynamic) portfolio is evaluated not only by its performance when there is an adversarial opponent (quot;naturequot;), but also by its...
Persistent link: https://www.econbiz.de/10012721526
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Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets
Ruffino, Doriana - 2009
In an environment with stocks and short-term debt, random changes in the risk-reward frontier produce hedging demands for equities, implying that portfolio policies supporting optimal life-cycle consumption are rarely mean-variance efficient. Pursuing optimal life-cycle portfolio policies is...
Persistent link: https://www.econbiz.de/10012721591
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Strategic Asset Allocation with Relative Performance Concerns
Basak, Suleyman - 2008
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...
Persistent link: https://www.econbiz.de/10012725258
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Venture Capital and Timing of IPO
Trabelsi, Donia - 2008
Our purpose is to find the optimal exit time of a venture capitalist (VC) under profit flow uncertainty. We consider that the VC sells his holding in two steps: at the offer price at the date of the initial public offering (IPO) taking into account the underpricing, then at the expiration of the...
Persistent link: https://www.econbiz.de/10012725989