Similar Search Results

Mean-variannce optimal portfolios in the presence of a benchmark with applications to fraud detection

Bernard, C.; Vanduffel, Steven - In: European journal of operational research : EJOR 234 (2014) 2, pp. 469-480

Persistent link: https://www.econbiz.de/10010356721

A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

Persistent link: https://www.econbiz.de/10011543968

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...

Persistent link: https://www.econbiz.de/10011402861

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300

Persistent link: https://www.econbiz.de/10002968418

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004

Persistent link: https://www.econbiz.de/10002035167

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

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