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Markowitz 3.0 : Including Diversification Targets in Portfolio Optimization via Diversification Functions

Heinze, Thomas - 2016

Given Markowitz's mean-risk model, maximization of diversification is established as an additional investment target … additional diversification parameters and should therefore lead to an improved mapping of economic reality. The main focus is on … the introduction of diversification functions which make diversification quantifiable and which are used as third …

Persistent link: https://www.econbiz.de/10012987406

Diversification and the Distribution of Portfolio Variance, Part 3 : Polynomial Optimisation for Asset Allocation

Fleming, Brian - 2021

Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …

Persistent link: https://www.econbiz.de/10013215636

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Non-Emptyness of Stochastic Dominance Efficient Sets via Stochastic Spanning

Arvanitis, Stelios - 2017

We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type...

Persistent link: https://www.econbiz.de/10012946120

Distributionally Robust Portfolio Optimization with STARR Performance Measure

Ji, Ran - 2020

utilize conic duality theory to reformulate the distributionally robust worst-case expectation constraint. Second, we devise a …

Persistent link: https://www.econbiz.de/10012840975

Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information

Altay, Sühan - 2019

by actions of the investor. Using the classical filtering theory, we reduce this problem with partial information to one … with full information and solve it for logarithmic and power utility functions. In particular, we apply control theory for …

Persistent link: https://www.econbiz.de/10012901723

Algorithm for Projecting Onto Simplicial Cones and Application to Portfolio Optimization

Kwon, Oh Kang - 2017

Many optimization problems that arise in practice can be reduced to the problem of computing the projection of a given vector in a Euclidean space onto the simplicial cone generated by a set of linearly independent vectors. For example, the well-known problem in finance of determining the...

Persistent link: https://www.econbiz.de/10012967192