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We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series...
Persistent link: https://www.econbiz.de/10005771790
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We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series...
Persistent link: https://www.econbiz.de/10005342900
We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange rates is represented by means of discrete...
Persistent link: https://www.econbiz.de/10005537444
We consider a weighting scheme that yields a best-case scenario for measured human development such as the official equally-weighted Human Development Index (HDI) using an approach that relies on consistent tests for stochastic dominance efficiency. We compare the official equally-weighted HDI...
Persistent link: https://www.econbiz.de/10010863458
We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency risks. The goal is to control the portfolio’s total risk exposure and...
Persistent link: https://www.econbiz.de/10010577948
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Persistent link: https://www.econbiz.de/10005194885
We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset prices. At issue is the adoption of suitable procedures to price options...
Persistent link: https://www.econbiz.de/10005201240
An optimal weighting scheme is proposed to construct economic, political and financial risk indices in emerging markets using an approach that relies on consistent tests for stochastic dominance efficiency. These tests are considered for a given risk index with respect to all possible indices...
Persistent link: https://www.econbiz.de/10010594263