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Gaussian and logistic adaptations of smoothed safety first
Haley, M. - In: Annals of Finance 10 (2014) 2, pp. 333-345
In one model of portfolio choice, dating to the Safety First principle, the investor is assumed to select assets to minimize the probability of realizing a portfolio return below some pre-determined target or benchmark rate of return. This paper builds on a recent refinement of Safety...
Persistent link: https://www.econbiz.de/10010989119
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Combining Forecasts with Missing Data: Making Use of Portfolio Theory
Fastrich, Björn; Winker, Peter - In: Computational Economics 44 (2014) 2, pp. 127-152
In this work we propose the construction of optimized forecast-portfolios where analysts are thought of as “assets … method is implemented for each of three objective functions that translate ideas from financial management into the forecast … several individual forecasts with a forecast-portfolio can indeed improve the forecast quality. Copyright Springer Science …
Persistent link: https://www.econbiz.de/10010989265
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Selection of Socially Responsible Portfolios Using Hedonic Prices
Bilbao-Terol, Amelia; Arenas-Parra, Mar; … - In: Journal of Business Ethics 115 (2013) 3, pp. 515-529
This paper presents a novel framework for selecting socially responsible investment (SRI) portfolios. The Hedonic Price Method (HPM) is applied to obtain an evaluation of SRI criteria that is integrated into a multi-objective mathematical programming model. The HPM breaks away from the...
Persistent link: https://www.econbiz.de/10010990081
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Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi - In: Management Science 58 (2012) 9, pp. 1732-1746
In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest...
Persistent link: https://www.econbiz.de/10010990462
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On-line portfolio selection strategy with prediction in the presence of transaction costs
Albeverio, Sergio; Lao, LanJun; Zhao, XueLei - In: Computational Statistics 54 (2001) 1, pp. 133-161
An on-line portfolio selection strategy with transaction costs is presented. It ensures investors to achieve at least the same exponential growth rate of wealth as the best stock for a long term. This equipped with a new prediction method based on “cross rates” for price relative sequences...
Persistent link: https://www.econbiz.de/10010847671
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Stochastic orders and their applications in financial optimization
Kijima, Masaaki; Ohnishi, Masamitsu - In: Computational Statistics 50 (1999) 2, pp. 351-372
Stochastic orders and inequalities are very useful tools in various areas of economics and finance. The purpose of this paper is to describe main results obtained so far by using the idea of stochastic orders in financial optimization. Especially, the emphasis is placed on the demand and shift...
Persistent link: https://www.econbiz.de/10010847755
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An efficient method of evaluating portfolio risk and return
Bramante, Riccardo; Dallago, Gimmi - In: Computational Statistics 28 (2013) 3, pp. 1351-1363
This paper presents an efficient method to compute portfolio risk and return. Two methodologies are exposed in evaluating portfolio performance by aggregation of securities returns: the first one is based on local approximations of the compounding capitalization formula; in the alternative...
Persistent link: https://www.econbiz.de/10010847793
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A minimax rule for portfolio selection in frictional markets
Wang, Shou-Yang; Yamamoto, Y.; Yu, Mei - In: Computational Statistics 57 (2003) 1, pp. 141-155
In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main...
Persistent link: https://www.econbiz.de/10010847803
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On a particular mapping in Rn
Peretti, Alberto - Dipartimento di Scienze Economiche, Facoltà di Economia - 2009
In this working paper we study some properties of a particular mapping in Rn related to an optimization problem with one equality constraint. We motivate the definition of the relevant mapping starting from a portfolio selection problem, in which we minimize the risk of an investment (the...
Persistent link: https://www.econbiz.de/10010857818
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Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix
Avagyan, Vahe; Alonso, Andrés M.; Nogales, Francisco J. - Departamento de Estadistica, Universidad Carlos III de … - 2014
In this paper, we focus on the estimation of a high-dimensional precision matrix. We propose a simple improvement of the graphical lasso framework (glasso) that is able to attain better statistical performance without sacrificing too much the computational cost. The proposed improvement is based...
Persistent link: https://www.econbiz.de/10010861866