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A Bayesian Information Criterion for Portfolio Selection
Bayesian Information Criterion Minimal Variance Portfolio Portfolio Selection Risk Diversification Selection Consistency
2016/1/19
The mean-variance theory of Markowitz (1952) indicates that large invest-ment portfolios naturally provide better risk diversification than small ones.However, due to parameter estimation errors, one ...
Robust portfolio optimization using pseudodistances
Robustness and sensitivity analysis portfolio optimization
2013/6/14
The presence of outliers in financial asset returns is a frequently occuring phenomenon and may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that ...
Risk,VaR,CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/25
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 ...
Discrete time portfolio selection with proportional transaction cost
PortfoIio selection Transaction costs Bellman equation
2009/9/22
In the paper discrete time portblio selection with
maximization of a discounted satisfaction functional is studied. In Section
2 the case without transaction costs is considered and explint
solutio...
PORTFOLIO DIVERSIFICATION WITH MARKOVIAN PRICES
Impulsive control portfolios transaction costs Lkvy processes
2009/9/18
The problem of constructing impulsive rebalancing of
portfolios, introduced by Pliska and Suzuki, is solved for models with
general Markovian prices. Existence of the optimal strategy iu established...
ORDERINGS AND RISK PROBABILITY FUNCTIONALS IN PORTFOLIO THEORY
Probability metrics FORS orderings Mellin transform coherent and convex measures
2009/9/18
This paper studies and describes stochastic orderings of
risk/reward positions in order to define in a natural way risk/reward measures
consistent/isotonic to investors’ preferences. We begin by dis...
Portfolio Optimization with Non-Constant Volatility and Partial Information
Portfolio Optimization Non-Constant Volatility Partial Information
2009/9/17
Portfolio Optimization with Non-Constant Volatility and Partial Information。
Finite Sample Properties of Estimators for the Optimal Portfolio Weight
mean-variance model simultaneous estimation statistical decision theory portfolio selection
2009/3/9
This paper considers the problem of estimating the optimal portfolio weight to the mean-variance model in finance when parameters are unknown. For this purpose, we consider the following two classes o...