Study of Portfolio Optimization Considering the Third-Order Stochastic Dominance and Skewness PDF Download
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Author: 陳證安
Publisher:
ISBN:
Category :
Languages : en
Pages : 174
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Author: 陳證安
Publisher:
ISBN:
Category :
Languages : en
Pages : 174
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Author: Andrey M. Lizyayev
Publisher: Rozenberg Publishers
ISBN: 9036101875
Category :
Languages : en
Pages : 136
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Author: Yi Fang
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional quadratic dependence of third-order stochastic dominance (TSD) into an equivalent linear system. The finding also shows a dual relationship between traditional low partial moment condition and the efficient condition of Post (2003). Based on the transformation, we develop a linear algorithm of TSD. Furthermore, we refine the "superconvex" TSD of Post and Kopa (2017) and introduce a corresponding linear system. The portfolio optimization performances of various criteria are also investigated.
Author: G. A. Whitmore
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 424
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Book Description
Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.
Author: E. Robert Fernholz
Publisher: Springer Science & Business Media
ISBN: 9780387954059
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.
Author: Thierry Post
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This study develops a portfolio optimization method based on the Stochastic Dominance (SD) decision criterion and the Empirical Likelihood (EL) estimation method. SD and EL share a distribution-free assumption framework which allows for dynamic and non-Gaussian multivariate return distributions. The SD/EL method can be implemented using a two-stage procedure which first elicits the implied probabilities using Convex Optimization and subsequently constructs the optimal portfolio using Linear Programming. The solution asymptotically dominates the benchmark and optimizes the goal function in probability, for a class of weakly dependent processes. A Monte Carlo simulation experiment illustrates the improvement in estimation precision using a set of conservative moment conditions about common factors in small samples. In an application to equity industry momentum strategies, SD/EL yields important out-of-sample performance improvements relative to heuristic diversification, Mean-Variance optimization, and a simple 'plug-in' approach.
Author: Thierry Post
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
We develop an optimization method for constructing investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semivariance function, a refinement of an existing 'super-convex' dominance condition and quadratic constrained programming. We apply our method to historical stock market data using an industry momentum strategy. Our enhanced portfolio generates important performance improvements compared with alternatives based on mean-variance dominance and second-degree stochastic dominance. Relative to the CSRP all-share index, our portfolio increases average out-of-sample return by almost seven percentage points per annum without incurring more downside risk, using quarterly rebalancing and without short selling.
Author: Philippe Johannes Petrus Marie Versijp
Publisher: Rozenberg Publishers
ISBN: 9051709358
Category :
Languages : en
Pages : 128
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Author: Grazyna Trzpiot
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Author: Darinka Dentcheva
Publisher:
ISBN:
Category :
Languages : en
Pages :
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