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Construction of uncertainty sets for portfolio selection problems

Wiechers, Christof - 2011

While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the … optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent …. The connections of the solution to robust optimization and decision theory are illustrated. -- Portfolio Optimization …

Persistent link: https://www.econbiz.de/10008939076

On numerical solution for optimal allocation of investment funds in portfolio selection problem

Yahaya, Abubakar - In: CBN journal of applied statistics 3 (2012) 2, pp. 1-15

In this article, we present a procedure for obtaining an optimal solution to the Markowitz's mean-variance portfolio selection problem based on the analytical solution developed in a previous research that lead to the emergence of an important model known as the Black Model. The procedure is...

Persistent link: https://www.econbiz.de/10011476137

Delivering left-skewed portfolio payoff distributions in the presence of transaction costs

Krawczyk, Jacek B. - In: Risks : open access journal 3 (2015) 3, pp. 318-337

For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...

Persistent link: https://www.econbiz.de/10011402594

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...

Persistent link: https://www.econbiz.de/10010442910

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming …

Persistent link: https://www.econbiz.de/10010442924

Structured Portfolio Analysis Under Sharpe-Omega Ratio

Hentati Kaffel, Rania - 2011

This paper deals with performance measurement of financial structured products. For this purpose, we introduce the Sharpe-Omega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the...

Persistent link: https://www.econbiz.de/10013128106

Dynamic Asset Allocation with Stochastic Interest Rates and Transaction Costs

Leirvik, Thomas - 2011

We investigate the optimal investment problem when the interest rate is stochastic and the investor must pay proportional transaction costs when buying and selling the risky assets. We first consider a portfolio of bonds and transaction costs.We then add a stock to the portfolio, and analyze the...

Persistent link: https://www.econbiz.de/10013128446

A Robust Risk-Based Approach in Portfolio Management

Cesari, Riccardo - 2011

In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and...

Persistent link: https://www.econbiz.de/10013128519

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

Risk, VaR, CVaR and Their Associated Portfolio Optimizations When Asset Returns Have a Multivariate Student T Distribution

Shaw, William Thornton - 2011

We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between choices of risk function (e.g. VaR vs CVaR); choice...

Persistent link: https://www.econbiz.de/10013129064