Search Results - subject:"Mean–variance analysis"

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - In: Econometric Reviews 27 (2008) 1-3, pp. 199-229

This article investigates the merits of high-frequency intraday data when forming mean-variance efficient stock portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency as judged by the...

Persistent link: https://www.econbiz.de/10005511901

Cumulative prospect theory and mean variance analysis : a rigorous comparison

Hens, Thorsten; Mayer, János - 2014

We compare asset allocations that are derived for cumulative prospect theory (CPT) based on two different methods: maximizing CPT along the mean {variance efficient frontier and maximizing CPT without this restriction. We find that with normally distributed returns, the difference between these...

Persistent link: https://www.econbiz.de/10010411865

Theory matters for financial advice!

Hens, Thorsten; Mayer, János - 2014

theories we apply are mean-variance analysis, expected utility analysis and cumulative prospect theory …

Persistent link: https://www.econbiz.de/10010338686

Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

mean-variance analysis (MVA) versus mean-conditional value at risk (M-CVaR) investors. The findings reveal that the …

Persistent link: https://www.econbiz.de/10009437793

Evaluating hedge fund performance: a stochastic dominance approach

Li, Sheng; Linton, Oliver - London School of Economics (LSE) - 2007

We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our approach utilizes statistical tests for stochastic dominance to compare the returns of hedge funds. We form hedge fund portfolios by using SD criteria...

Persistent link: https://www.econbiz.de/10011071498

A Mean–variance analysis of arbitrage portfolios

Fang, Shuhong - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 2, pp. 625-632

analysis of the return of arbitrage portfolios, which implies that Korkie and Turtle's results ( B. Korkie, H.J. Turtle, A mean–variance …Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean–variance … analysis of self-financing portfolios, Manage. Sci. 48 (2002) 427–443) are misleading. A practical example is given to show the …

Persistent link: https://www.econbiz.de/10010873337

Comparison of different estimation techniques for portfolio selection

Okhrin, Yarema; Schmid, Wolfgang - In: AStA Advances in Statistical Analysis 91 (2007) 2, pp. 109-127

Persistent link: https://www.econbiz.de/10005598071

Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis

Chiarella, Carl; Dieci, Roberto; He, Tony - Society for Computational Economics - SCE - 2006

The aim of this paper is to show, within the mean-variance framework, how the market belief can be constructed as the result of the aggregation of heterogeneous beliefs and how the market equilibrium prices of risky assets can thus be determined. The heterogeneous beliefs are defined in terms of...

Persistent link: https://www.econbiz.de/10005132596

The Risk-Return Trade-Off in Human Capital Investment

Christiansen, Charlotte; Joensen, Juanna Schröter; … - Institute for the Study of Labor (IZA) - 2006

In this paper we analyze investments in human capital assets in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by using...

Persistent link: https://www.econbiz.de/10005822302

Improving Portfolio Efficiency: A Genetic Algorithm Approach

Yang, Xiaolou - In: Computational Economics 28 (2006) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10005701772