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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Chapter 4. On Formulating and Solving Portfolio Decision and Asset Pricing Problems
Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A. - In: Handbook of computational economics : volume 3, (pp. 161-223). 2014
This chapter discusses computational methods for approximating portfolio and asset pricing problems. Formulation of these problems is usually specified along with components, preferences, payoffs, etc., that are analytic functions. This implies that the solutions to these problems acquire this...
Persistent link: https://www.econbiz.de/10014025718
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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
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Asset liability modelling and pension schemes : the application of robust optimization to USS
Platanakis, Emmanouil; Sutcliffe, Charles M. S. - 2014
This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...
Persistent link: https://www.econbiz.de/10010532241
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Utility maximization in an illiquid market
Soner, Halil Mete; Vukelja, Mirjana - 2013
We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage...
Persistent link: https://www.econbiz.de/10009750653
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Conditioning the information in portfolio optimization
Sala, Carlo; Barone-Adesi, Giovanni - 2015
utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …
Persistent link: https://www.econbiz.de/10011506342
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Optimal Portfolio Selection : A Note with a VBA Solution
Velez-Pareja, Ignacio - 2012
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10013099375
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Optimal Portfolios and Efficient Frontiers
Athaide, Malcolm - 2012
This study focuses on the background and relationship of asset pricing, optimal portfolios and efficient portfolio frontiers. This has been discussed in light of multiple crisis; right from the Asian Crisis of 1997, dotcom of 2001 till the financial crisis of 2008. This study tracks the changes...
Persistent link: https://www.econbiz.de/10013104906
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Optimal Basket Liquidation for CARA Investors is Deterministic
Schied, Alexander - 2010
We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...
Persistent link: https://www.econbiz.de/10013150407
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Dynamic Asset Allocation Using a Combined Criteria Decision System
Galloppo, Giuseppe - 2018
In this paper we examine the predictability of asset returns by developing an approach that combines quantitative methods of forecasting, based on technical analysis. As an innovation we introduce a multiple criteria decision system making simultaneous use of trend indicators and other...
Persistent link: https://www.econbiz.de/10012940663