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The Evolution of Portfolio Rules and the Capital Asset Pricing Model

Sciubba, E. - Faculty of Economics, University of Cambridge - 1999

The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We … ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate … uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean …

Persistent link: https://www.econbiz.de/10005489334

Portfolio Selection – A Technical Note

Martins, Ana Paula - In: Journal of Economics and Econometrics 55 (2012) 3, pp. 78-99

This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...

Persistent link: https://www.econbiz.de/10011078542

Portfolio Selection – A Technical Note

Martins, Ana Paula - Economics and Econometrics Research Institute (EERI) - 2012

Persistent link: https://www.econbiz.de/10010860050

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

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

Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes

Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 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/10005015186

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

Persistent link: https://www.econbiz.de/10008635813

On efficiency of mean-variance based portfolio selection in DC pension schemes

Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2010

We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...

Persistent link: https://www.econbiz.de/10008682809

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

A Stochastic Programming Framework for International PortfolioManagement

Vladimirou, Hercules; Topaloglou, Nikolas; Zenios, … - Society for Computational Economics - SCE - 2006

We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange rates is represented by means of discrete...

Persistent link: https://www.econbiz.de/10005537444