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Author : Stephen Jeffery Brown
Publisher :
ISBN 13 :
Total Pages : 422 pages
Book Rating : 4.:/5 (191 download)
Download or read book Optimal portfolio choice under uncertainty written by Stephen Jeffery Brown and published by . This book was released on 1976 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen J. Brown
Publisher :
ISBN 13 :
Total Pages : 211 pages
Book Rating : 4.:/5 (17 download)
Download or read book Optimal Portfolio Choice Under Uncertainty written by Stephen J. Brown and published by . This book was released on 1976 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rolf Merz
Publisher :
ISBN 13 :
Total Pages : 235 pages
Book Rating : 4.:/5 (723 download)
Download or read book Optimal Portfolio Choice Under Parameter Uncertainty written by Rolf Merz and published by . This book was released on 2011 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Huamao Wang
Publisher :
ISBN 13 :
Total Pages : 480 pages
Book Rating : 4.:/5 (82 download)
Download or read book Optimal Portfolio Choice Under Partial Information and Transaction Costs written by Huamao Wang and published by . This book was released on 2010 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and analyze a model of optimal portfolio choice with a finite time horizon T. The investor's objective is to maximize the expected utility of termi- nal wealth based on partial information generated by stock prices. Rebalancing the portfolio composed of a stock and a bank account incurs transaction costs. This thesis extends the literature by examining the joint impact of partial in- formation and transaction costs on investors' decisions and expected utilities. After estimating the uncertain drift from historical prices, an investor up- dates the estimate over [0, T] based on partial information. This investor learns about the drift with the Kalman-Bucy filter, which provides a statistically op- timal estimate. Three regions of the state space with two free boundaries char- acterize the optimal portfolio strategy. A numerical algorithm using dynamic programming and a Markov chain approximation solves the model. The ex- isting algorithm with known parameters is time consuming and liable to cause underflow or overflow of the range of values represented. We propose four im- provements to overcome the drawbacks. The algorithm with modifications can be applied to the model under partial information according to the separation principle. We define two measures to quantify the losses in utility caused by partial information and transaction costs. Four quantities are introduced to describe investors' trading behaviours. With simulations of stock prices and the drift, the comparative analysis of five market parameters reveals the properties of the model and tests the robustness of the algorithm. Compared with the investors who use erroneous estimates of the drift, the learning investor's portfolio hold- ings are close to the informed investor's portfolio holdings. The average cost per transaction to the learning investor is the lowest. This investor has these benefits because the filter reduces uncertainty. We discuss the implications for practitioners to highlight the practical contributions of this research. KEY WORDS: investment; portfolio choice; parameter uncertainty; transaction costs; dynamic programming.
Author : Stanford University. Institute for Mathematical Studies in the Social Sciences
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (466 download)
Download or read book Optimal Savings and Portfolio Choice Under Uncertainty written by Stanford University. Institute for Mathematical Studies in the Social Sciences and published by . This book was released on 1971 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lorenzo Garlappi
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.X/5 (4 download)
Download or read book Portfolio Selection with Parameter and Model Uncertainty written by Lorenzo Garlappi and published by . This book was released on 2005 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arnold Zellner
Publisher : Wiley-Interscience
ISBN 13 : 9780471169376
Total Pages : 0 pages
Book Rating : 4.1/5 (693 download)
Download or read book An Introduction to Bayesian Inference in Econometrics written by Arnold Zellner and published by Wiley-Interscience. This book was released on 1996-08-17 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a classical reprint edition of the original 1971 edition of An Introduction to Bayesian Inference in Economics. This historical volume is an early introduction to Bayesian inference and methodology which still has lasting value for today's statistician and student. The coverage ranges from the fundamental concepts and operations of Bayesian inference to analysis of applications in specific econometric problems and the testing of hypotheses and models.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Giannis Vardas
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (535 download)
Download or read book Uncertainty aversion, robust control and asset holdings written by Giannis Vardas and published by . This book was released on 2004 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ryan G. Sankarpersad
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (812 download)
Download or read book Optimal Investment and Consumption Portfolio Choice Problem for Assets Modeled by Levy Processes written by Ryan G. Sankarpersad and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: We consider an extension of Merton's optimal portfolio choice and consumption problem for a portfolio in which the underlying risky asset is an exponential Levy process. The investor is able to move money between a risk free asset and a risky asset and consume from the risk free asset. Given the dynamics of the total wealth of the portfolio we consider the problem of finding portfolio weights and a consumption process which optimizes the investors expected utility of consumption over the investment period. The problem is solved in both the finite and infinite horizon cases for a family of hyperbolic absolute risk aversion utility functions using the techniques of stochastic control theory. The general closed form solutions are found for for the case of a power utility function and then for a more generalized utility. We consider a variety of Levy processes and make a comparison of the optimal portfolio weights. We find that our results are consistent with expectations that the greater the inherent uncertainty of a given process leads to a smaller fraction of wealth invested in the risky asset. In particular an investor is more careful when the risky asset is a discontinuous Levy process when compared to the continuous case such as those found in a geometric Brownian motion model.
Author : Arjan B. Berkelaar
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book Optimal Portfolio Choice Under Loss Aversion written by Arjan B. Berkelaar and published by . This book was released on 2018 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the optimal investment strategy for loss averse investors, assuming a complete market and general Ito processes for the asset prices. The loss averse investor follows a partial portfolio insurance strategy. When the planning horizon of the investor is short, i.e. less than 5 years, he or she considerably reduces the initial portfolio weight of stocks compared to an investor with smooth power utility. Consistent with popular investment advice, the initial portfolio weight of stocks of a loss averse investor typically increases with the investment horizon. The empirical section of the paper estimates the level of loss aversion implied by historical US stock market data, using a representative agent model. We find that loss aversion and risk aversion cannot be disentangled and provide a similar fit to the data.
Author : Xueqi Dong
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (885 download)
Download or read book Portfolio Choice Under Uncertainty written by Xueqi Dong and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814417351
Total Pages : 941 pages
Book Rating : 4.8/5 (144 download)
Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Author : Taras Bodnar
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix written by Taras Bodnar and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic representations, we derive the moments of higher order of the estimated expected return and the estimated variance of the expected utility optimal portfolio. Another line of applications leads to their asymptotic distributions obtained in the high-dimensional setting. Via a simulation study, it is shown that the derived high-dimensional asymptotic distributions provide good approximations of the exact ones even for moderate sample sizes.
Author : James Dow
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (92 download)
Download or read book Uncertainty aversion, risk aversion and the optimal choice of portfolio written by James Dow and published by . This book was released on 1990 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Günter Franke
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (837 download)
Download or read book Non-market Wealth, Background Risk and Portfolio Choice written by Günter Franke and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yihong Xia
Publisher :
ISBN 13 :
Total Pages : 418 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on the Effect of Learning and Predictability on Optimal Dynamic Portfolio Strategies and Asset Prices written by Yihong Xia and published by . This book was released on 2000 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
