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On Efficiency of Mean-Variance Based Portfolio Selection in DC Pension Schemes

Vigna, Elena - 2011

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/10013128957

Probability Metrics Applied to Problems in Portfolio Theory

Stoyanov, Stoyan V. - 2010

In the paper, we consider the application of the theory of probability metrics in several areas in the eld of nance. First, we argue that specially structured probability metrics can be used to quantify stochastic dominance relations. Second, the methods of the theory of probability metrics can...

Persistent link: https://www.econbiz.de/10013134897

Strategy and Implementation : Quantitative Evaluation of Strategic Performance with Application to Mutual Funds

Cooper, William W. - 2011

This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...

Persistent link: https://www.econbiz.de/10013118148

Time Consistent vs. Time Inconsistent Dynamic Asset Allocation : Some Utility Cost Calculations for Mean Variance Preferences

Lioui, Abraham - 2011

We solve for the time consistent dynamic asset allocation of an investor with a mean variance objective function in a multiple assets affine setting. We use as a benchmark the pre-commitment strategy widely used in the literature and assess the potential welfare gains from pre-commitment by...

Persistent link: https://www.econbiz.de/10013118906

Optimal Hedging of a Contingent Claim with Ambiguity Aversion

Hyun, Chongseok - 2012

We propose a model of hedging and investment with ambiguity aversion in an incomplete financial market. We show that … one can distinguish ambiguity averse agents from probabilistically sophisticated agents. Further, we generate the … hypothesis: an ambiguity averse agent chooses higher volatility when hedging a derivative position whose payoff function is …

Persistent link: https://www.econbiz.de/10013103139

The Bayesian Roots of Risk Parity in a Mean-Risk World

Kaya, Hakan - 2012

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights. We show that log-regularization leads to a fund...

Persistent link: https://www.econbiz.de/10013103702

Noise, Beliefs, and Momentum

Jordan, Steven J. - 2013

We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model ﬁt the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...

Persistent link: https://www.econbiz.de/10013089438

Ambiguity Aversion and Asset Prices in Production Economies

Jahan-Parvar, Mohammad R. - 2014

chain and with an ambiguity averse representative agent. Our model requires a low coefficient of relative risk aversion to …

Persistent link: https://www.econbiz.de/10013066542

Mutual Funds Theorem for Continuous Time Markets

Dokuchaev, Nikolai - 2014

For the problem of continuous time optimal portfolio selection, we found that the optimal strategies for investors with different performance criterions can be constructed using a limited number of fixed processes (mutual funds), for a incomplete market with a larger number of available risky...

Persistent link: https://www.econbiz.de/10013069990

How Efficient Use of Information Changes Portfolio Allocations

Kemkhadze, Nato - 2013

Unknown model parameters, like expected returns, cannot be accurately estimated from short samples. Respective estimation error most likely leads to the portfolio, inconsistent with its target risk/return profile. We investigate the ways of reducing the impact of estimation error on portfolio...

Persistent link: https://www.econbiz.de/10013071700