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Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint


Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint
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Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint


Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint
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Author : Hui Deng (M. Phil.)
language : en
Publisher:
Release Date : 2009

Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint written by Hui Deng (M. Phil.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Portfolio management categories.




Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint


Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint
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Author : Hui Deng
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27

Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint written by Hui Deng and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.


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



Mean Variance Portfolio Selection With At Risk Constraints And Discrete Distributions


Mean Variance Portfolio Selection With At Risk Constraints And Discrete Distributions
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Author : Gordon J. Alexander
language : en
Publisher:
Release Date : 2008

Mean Variance Portfolio Selection With At Risk Constraints And Discrete Distributions written by Gordon J. Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.


We examine the impact of adding either a VaR or a CVaR constraint to the mean-variance model when security returns are assumed to have a discrete distribution with finitely many jump points. Three main results are obtained. First, portfolios on the VaR-constrained boundary exhibit (K 2)-fund separation, where K is the number of states for which the portfolios suffer losses equal to the VaR bound. Second, portfolios on the CVaR-constrained boundary exhibit (K 3)-fund separation, where K is the number of states for which the portfolios suffer losses equal to their VaRs. Third, an example illustrates that while the VaR of the CVaR-constrained optimal portfolio is close to that of the VaR-constrained optimal portfolio, the CVaR of the former is notably smaller than that of the latter. This result suggests that a CVaR constraint is more effective than a VaR constraint to curtail large losses in the mean-variance model.



Risk And Uncertainty


Risk And Uncertainty
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-04-22

Risk And Uncertainty written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-22 with Business & Economics categories.


Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.



Mean Variance Portfolio Management


Mean Variance Portfolio Management
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Author : Kwok-Chuen Wong
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-26

Mean Variance Portfolio Management written by Kwok-Chuen Wong and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.


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



Mean Variance Portfolio Allocation With A Value At Risk Constraint


Mean Variance Portfolio Allocation With A Value At Risk Constraint
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Author : Enrique Sentana
language : en
Publisher:
Release Date : 2001

Mean Variance Portfolio Allocation With A Value At Risk Constraint written by Enrique Sentana and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business enterprises categories.




Characteristic Based Mean Variance Portfolio Choice


Characteristic Based Mean Variance Portfolio Choice
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Author : Erik Hjalmarsson
language : en
Publisher:
Release Date : 2009

Characteristic Based Mean Variance Portfolio Choice written by Erik Hjalmarsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Investment analysis categories.


We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single-characteristic strategies (e.g., momentum or value). In an empirical application to international stock return indexes, we show that the direct approach to estimating portfolio weights clearly beats a naive regression-based approach that models the conditional mean. However, a portfolio based on equal weights of the single-characteristic strategies performs about as well, and sometimes better, than the direct estimation approach, highlighting again the difficulties in beating the equal-weighted case in mean-variance analysis. The empirical results also highlight the potential for "stock-picking" in international indexes, using characteristics such as value and momentum, with the characteristic-based portfolios obtaining Sharpe ratios approximately three times larger than the world market.



Developments In Mean Variance Efficient Portfolio Selection


Developments In Mean Variance Efficient Portfolio Selection
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Author : M. Agarwal
language : en
Publisher: Springer
Release Date : 2015-12-11

Developments In Mean Variance Efficient Portfolio Selection written by M. Agarwal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-11 with Business & Economics categories.


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.



Portfolio Choice Problems


Portfolio Choice Problems
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Author : Nicolas Chapados
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-07-12

Portfolio Choice Problems written by Nicolas Chapados and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-12 with Computers categories.


This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.



Portfolio Analysis


Portfolio Analysis
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Author : Xiaoxia Huang
language : en
Publisher: Springer
Release Date : 2010-03-10

Portfolio Analysis written by Xiaoxia Huang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-10 with Computers categories.


The most salient feature of security returns is uncertainty. The purpose of the book is to provide systematically a quantitative method for analyzing return and risk of a portfolio investment in di?erent kinds of uncertainty and present the ways for striking a balance between investment return and risk such that an optimal portfolio can be obtained. In classical portfolio theory, security returns were assumed to be random variables, and probability theory was the main mathematical tool for h- dling uncertainty in the past. However,the world is complex and uncertainty is varied. Randomnessis nottheonly typeofuncertaintyinreality,especially when human factors are included. Security market, one of the most complex marketsintheworld,containsalmostallkindsofuncertainty. Thesecurity- turns are sensitive to various factors including economic, social, political and very importantly, people’s psychological factors. Therefore, other than strict probability method, scholars have proposed some other approaches including imprecise probability, possibility, and interval set methods, etc. , to deal with uncertaintyinportfolioselectionsince1990’s. Inthisbook,wewantto addto thetools existingin sciencesomenewandunorthodoxapproachesforanal- ing uncertainty of portfolio returns. When security returns are fuzzy, we use credibility which has self-duality property as the basic measure and employ credibilitytheorytohelpmakeselectiondecisionsuchthatthedecisionresult will be consistent with the laws of contradiction and excluded middle. Being awarethat one tool is not enough for solving complex practical problems, we further employ uncertain measure and uncertainty theory to help select an optimal portfolio when security returns behave neither randomly nor fuzzily. One core of portfolio selection is to ?nd a quantitative risk de?nition of a portfolio investment.