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Optimal Mean Variance Portfolio Selection
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Book Synopsis Mean-Variance Analysis in Portfolio Choice and Capital Markets by : Harry M. Markowitz
Download or read book Mean-Variance Analysis in Portfolio Choice and Capital Markets written by Harry M. Markowitz and published by John Wiley & Sons. This book was released on 2000-02-15 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Book Synopsis Optimal Mean-variance Portfolio Selection by : Jingsi Xu
Download or read book Optimal Mean-variance Portfolio Selection written by Jingsi Xu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Mean-variance Portfolio Selection Using Historic and Fama-French Three-Factor Model Mean Estimation by : Corey P. O'Keefe
Download or read book Optimal Mean-variance Portfolio Selection Using Historic and Fama-French Three-Factor Model Mean Estimation written by Corey P. O'Keefe and published by . This book was released on 2001 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mean-Variance Optimal Portfolio Selection with a Value-At-Risk Constraint by : Hui Deng
Download or read book Mean-Variance Optimal Portfolio Selection with a Value-At-Risk Constraint written by Hui Deng and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Mean-variance Optimal Portfolio Selection With a Value-at-risk Constraint" by Hui, Deng, 鄧惠, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4189721 Subjects: Risk Portfolio management - Mathematical models
Book Synopsis Mean Variance Portfolio Management by : Kwok-Chuen Wong
Download or read book Mean Variance Portfolio Management written by Kwok-Chuen Wong and published by Open Dissertation Press. This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Mean Variance Portfolio Management: Time Consistent Approach" by Kwok-chuen, Wong, 黃國全, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: In this thesis, two problems of time consistent mean-variance portfolio selection have been studied: mean-variance asset-liability management with regime switchings and mean-variance optimization with state-dependent risk aversion under short-selling prohibition. Due to the non-linear expectation term in the mean-variance utility, the usual Tower Property fails to hold, and the corresponding optimal portfolio selection problem becomes time-inconsistent in the sense that it does not admit the Bellman Optimality Principle. Because of this, in this thesis, time-consistent equilibrium solution of two mean-variance optimization problems is established via a game theoretic approach. In the first part of this thesis, the time consistent solution of the mean-variance asset-liability management is sought for. By using the extended Hamilton-Jacobi- Bellman equation for equilibrium solution, equilibrium feedback control of this MVALM and the corresponding equilibrium value function can be obtained. The equilibrium control is found to be affine in liability. Hence, the time consistent equilibrium control of this problem is state dependent in the sense that it depends on the uncontrollable liability process, which is in substantial contrast with the time consistent solution of the simple classical mean-variance problem in Bjork and Murgoci (2010), in which it was independent of the state. In the second part of this thesis, the time consistent equilibrium strategies for the mean-variance portfolio selection with state dependent risk aversion under short-selling prohibition is studied in both a discrete and a continuous time set- tings. The motivation that urges us to study this problem is the recent work in Bjork et al. (2012) that considered the mean-variance problem with state dependent risk aversion in the sense that the risk aversion is inversely proportional to the current wealth. There is no short-selling restriction in their problem and the corresponding time consistent control was shown to be linear in wealth. However, we discovered that the counterpart of their continuous time equilibrium control in the discrete time framework behaves unsatisfactory, in the sense that the corresponding "optimal" wealth process can take negative values. This negativity in wealth will change the investor into a risk seeker which results in an unbounded value function that is economically unsound. Therefore, the discretized version of the problem in Bjork et al. (2012) might yield solutions with bankruptcy possibility. Furthermore, such "bankruptcy" solution can converge to the solution in continuous counterpart as Bjork et al. (2012). This means that the negative risk aversion drawback could appear in implementing the solution in Bjork et al. (2012) discretely in practice. This drawback urges us to prohibit short-selling in order to eliminate the chance of getting non-positive wealth. Using backward induction, the equilibrium control in discrete time setting is explicit solvable and is shown to be linear in wealth. An application of the extended Hamilton-Jacobi-Bellman equation leads us to conclude that the continuous time equilibrium control is also linear in wealth. Also, the investment to wealth ratio would satisfy an integral equation which is uniquely solvable. The discrete time equilibrium controls are shown to converge to that in continuous time setting. DOI: 10.5353/th_b5153743 S
Book Synopsis The Effects of Different Estimation Periods on Optimal Mean-variance Portfolio Selection by : Trevor Anthony Won
Download or read book The Effects of Different Estimation Periods on Optimal Mean-variance Portfolio Selection written by Trevor Anthony Won and published by . This book was released on 2001 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust Equity Portfolio Management by : Woo Chang Kim
Download or read book Robust Equity Portfolio Management written by Woo Chang Kim and published by John Wiley & Sons. This book was released on 2015-11-25 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimization Implement robust models using provided MATLAB code Learn advanced optimization methods with equity portfolio applications Understand the formulations, performances, and properties of robust portfolios The Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in—and need for—an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of today's portfolio manager. Robust Equity Portfolio Management + Website provides a viable alternative framework, and the hard skills to implement any optimization method.
Book Synopsis Methods of Mathematical Finance by : Ioannis Karatzas
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer Science & Business Media. This book was released on 1998-08-13 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text. This monograph should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.
Book Synopsis Mean-variance Optimal Portfolio Selection with a Value-at-risk Constraint by : Hui Deng (M. Phil.)
Download or read book Mean-variance Optimal Portfolio Selection with a Value-at-risk Constraint written by Hui Deng (M. Phil.) and published by . This book was released on 2009 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Developments in Mean-Variance Efficient Portfolio Selection by : M. Agarwal
Download or read book Developments in Mean-Variance Efficient Portfolio Selection written by M. Agarwal and published by Springer. This book was released on 2015-12-11 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Book Synopsis Encyclopedia of Financial Models by : Frank J. Fabozzi
Download or read book Encyclopedia of Financial Models written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-10-15 with total page 3180 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.
Book Synopsis Portfolio Selection by : Harry Markowitz
Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Book Synopsis Tail Mean-Variance Portfolio Selection with Estimation Risk by : Zhenzhen Huang
Download or read book Tail Mean-Variance Portfolio Selection with Estimation Risk written by Zhenzhen Huang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tail Mean-Variance (TMV) has emerged from the actuarial community as a criterion for risk management and portfolio selection, with a focus on extreme losses. The existing literature on portfolio optimization under the TMV criterion relies on the plug-in approach that substitutes the unknown mean and covariance of asset returns in the optimal portfolio weight with their sample counterparts. The plug-in method inevitably introduces estimation risk and usually has poor out-of-sample performance. We propose an optimal combination of the plug-in and 1/N rules to improve out-of-sample performance. Our proposed combined portfolio consistently outperforms both the plug-in and 1/N portfolios on both simulated and real-world datasets.
Book Synopsis Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets by : Chi Seng Pun
Download or read book Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets written by Chi Seng Pun and published by . This book was released on 2018 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time-consistency and optimal diversification (minimum-variance) criteria are popular in the dynamic portfolio construction in practice. This paper is devoted to the exact analytic solution of the time-consistent mean-variance portfolio selection with assets that can be all risky in a continuous-time economy, of which the time-consistent global minimum-variance portfolio is a special case. Our solution generalizes the studies with a risk-free asset in the sense that one of the risky assets can be set as risk-free. By applying the extended dynamic programming, we manage to derive the exact analytic solution of the time-consistent mean-variance strategy with risky assets via the solution of the Abel differential equation. To stabilize the solution, we derive an analytical expansion for the Abel differential equation with any desired accuracy. In addition, we derive the statistical properties of the optimal strategy and prove a separation theorem. Moreover, we establish the links of time-consistent strategy with pre-commitment and myopic strategies and investigate the curse of dimensionality on the time-consistent strategies. We show that under the low-dimensional setting, the intertemporal hedging demands are significant; however, under the high-dimensional setting, the time-consistent strategies are approximately equivalent to myopic strategies, in the presence of estimation risk. Empirical studies are conducted to illustrate and verify our results.
Book Synopsis Financial Analytics with R by : Mark J. Bennett
Download or read book Financial Analytics with R written by Mark J. Bennett and published by Cambridge University Press. This book was released on 2016-10-06 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Analytics with R sharpens readers' skills in time-series, forecasting, portfolio selection, covariance clustering, prediction, and derivative securities.
Book Synopsis Deterministic and Stochastic Optimal Control by : Wendell H. Fleming
Download or read book Deterministic and Stochastic Optimal Control written by Wendell H. Fleming and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
Book Synopsis Mean-Variance Portfolio Selection with Tracking Error Penalization by : William Lefebvre
Download or read book Mean-Variance Portfolio Selection with Tracking Error Penalization written by William Lefebvre and published by . This book was released on 2020 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation controls and a reference portfolio with same wealth and fixed weights. Such consideration is motivated as follows: (i) On the one hand, it is a way to robustify the mean-variance allocation in case of misspecified parameters, by “fitting” it to a reference portfolio that can be agnostic to market parameters; (ii) On the other hand, it is a procedure to track a benchmark and improve the Sharpe ratio of the resulting portfolio by considering a mean-variance criterion in the objective function. This problem is formulated as a McKean-Vlasov control problem. We provide explicit solutions for the optimal portfolio strategy and asymptotic expansions of the portfolio strategy and efficient frontier for small values of the tracking error parameter. Finally, we compare the Sharpe ratios obtained by the standard mean-variance allocation and the penalized one for four different reference portfolios: equal-weights, minimum-variance, equal risk contributions and shrinking portfolio. This comparison is done on a simulated misspecified model, and on a backtest performed with historical data. Our results show that in most cases, the penalized portfolio outperforms in terms of Sharpe ratio both the standard mean-variance and the reference portfolio.
