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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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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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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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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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Reconciling Factor Optimization with Portfolio Constraints
Gnedenko, Boris - 2017
Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...
Persistent link: https://www.econbiz.de/10012973146
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Options Portfolio Selection
Guasoni, Paolo - 2020
We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio...
Persistent link: https://www.econbiz.de/10012853391
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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953