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Portfolio Construction Based On Stochastic Dominance And Empirical Likelihood
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Book Synopsis Portfolio Construction Based on Stochastic Dominance and Empirical Likelihood by : Thierry Post
Download or read book Portfolio Construction Based on Stochastic Dominance and Empirical Likelihood written by Thierry Post and published by . This book was released on 2018 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic dominance in portfolio analysis and asset pricing by : Andrey M. Lizyayev
Download or read book Stochastic dominance in portfolio analysis and asset pricing written by Andrey M. Lizyayev and published by Rozenberg Publishers. This book was released on 2010 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Selection by Second Order Stochastic Dominance Based on the Risk Aversion Degree of Investors by : Leili Javanmardi
Download or read book Portfolio Selection by Second Order Stochastic Dominance Based on the Risk Aversion Degree of Investors written by Leili Javanmardi and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Portfolio Theory by : E. Robert Fernholz
Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Empirical Tests for Stochastic Dominance Efficiency by : Thierry Post
Download or read book Empirical Tests for Stochastic Dominance Efficiency written by Thierry Post and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation. Using our tests, the Fama and French market portfolio is significantly inefficient relative to benchmark portfolios formed on market capitalization and book-to-market equity ratio.
Book Synopsis Stochastic Dominance by : G. A. Whitmore
Download or read book Stochastic Dominance written by G. A. Whitmore and published by . This book was released on 1978 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Portfolio Choice Based on Third-Degree Stochastic Dominance by : Thierry Post
Download or read book Portfolio Choice Based on Third-Degree Stochastic Dominance written by Thierry Post and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Portfolio Analysis of Stocks, Bonds and Managed Futures Using Compormise Stochastic Dominance by : Daniel Fischmar
Download or read book Portfolio Analysis of Stocks, Bonds and Managed Futures Using Compormise Stochastic Dominance written by Daniel Fischmar and published by . This book was released on 1990 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comprehensive Empirical Comparison of Stochastic Dominance and Mean-variance Portfolio Models by : R. Burr Porter
Download or read book A Comprehensive Empirical Comparison of Stochastic Dominance and Mean-variance Portfolio Models written by R. Burr Porter and published by . This book was released on 1971 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Review of Portfolio Choice Based on Stochastic Dominance by : Thierry Post
Download or read book A Review of Portfolio Choice Based on Stochastic Dominance written by Thierry Post and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Studies in the Economics of Uncertainty by : Thomas B. Fomby
Download or read book Studies in the Economics of Uncertainty written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.
Book Synopsis Empirical Studies in Portfolio Performance Using Stochastic Dominance by : Hassan Tehranian
Download or read book Empirical Studies in Portfolio Performance Using Stochastic Dominance written by Hassan Tehranian and published by . This book was released on 1979 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance Vs. Mean Variance Portfolio Analysis by : R. Burr Porter
Download or read book Stochastic Dominance Vs. Mean Variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1972 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance Vs. Mean-variance Portfolio Analysis by : R. Burr Porter
Download or read book Stochastic Dominance Vs. Mean-variance Portfolio Analysis written by R. Burr Porter and published by . This book was released on 1970 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Dominance Vs. Mean Variance Portfolio Analysis by :
Download or read book Stochastic Dominance Vs. Mean Variance Portfolio Analysis written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Linear and Mixed Integer Programming for Portfolio Optimization by : Renata Mansini
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Book Synopsis Handbook of Portfolio Construction by : John B. Guerard, Jr.
Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
