Portfolio Choice Based on Third-Degree Stochastic Dominance PDF Download
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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: 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: Haim Levy
Publisher: Springer Science & Business Media
ISBN: 0387293116
Category : Business & Economics
Languages : en
Pages : 439
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Book Description
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Author: James E. Hodder
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Leili Javanmardi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Thierry Post
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Theoretical concepts together with estimation and optimization methods for portfolio choice based on Stochastic Dominance are reviewed. Distinction is drawn between the concepts of Pairwise Dominance, Admissibility, Optimality, Efficiency and Spanning. Results of selected empirical studies and practical applications are discussed.
Author: Stylianos Perrakis
Publisher: Faculty of Management Sciences, University of Ottawa
ISBN:
Category : Analysis of variance
Languages : en
Pages : 7
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Author: 陳證安
Publisher:
ISBN:
Category :
Languages : en
Pages : 174
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Book Description
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: Enrico De Giorgi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Daniel Fischmar
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 36
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Book Description
