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Overconfident Forecasts and Active Portfolio Performance

Kemkhadze, Nato - 2014

these differ. The portfolio performance is assessed according to the Sharpe Ratio and a measure of expected utility obtained … risk, is attributed to the loss in utility due to being led to hunt for an inappropriate portfolio. We quantify the utility … obtained under this information set in terms of the Sharpe ratio that would give the same utility. We find that the measure of …

Persistent link: https://www.econbiz.de/10013061761

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542

Persistent link: https://www.econbiz.de/10011338116

Portfolio Construction Using Predictive Linear Model – An Adaptive Multi-Objective Approach

Mobasheri, Amir - 2019

Stochastic Search Variable Selection (SSVS). The investor's utility function is used to obtain the weight of a risky asset based …

Persistent link: https://www.econbiz.de/10012868096

Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach

Zhu, Shushang - 2013

uncertainty. By using duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be …

Persistent link: https://www.econbiz.de/10013076696

Performance evaluation of BDI forecasting models cross efficiency, the directional distance function and the AVS utility function

Yu, Ming-miin; Bulut, Emrah - In: International journal of transport economics 46 (2019) 1/2, pp. 177-199

Persistent link: https://www.econbiz.de/10012041039

Debiased Expert Forecasts in Continuous Time Asset Allocation

Davis, Mark H. A. - 2019

This paper examines the effect of biased expert opinions on asset allocations. Expert opinions, such as brokerage research and analyst views, are an essential component of the asset management sector and an important research topic. However, the effect of behavioral biases on expert opinions is...

Persistent link: https://www.econbiz.de/10012903976

Quantitative Portfolio Selection : Using Density Forecasting to Find Consistent Portfolios

Meade, N. - 2019

In the knowledge that the ex-post performance of Markowitz efficient portfolios is inferior to that implied ex-ante, we make two contributions to the portfolio selection literature. Firstly, we propose a methodology to identify the region of risk-expected return space where ex-post performance...

Persistent link: https://www.econbiz.de/10012864171

Robust Dynamic Portfolio Choice Based on Out-Of-Sample Performance

Schüssler, Rainer Alexander - 2019

We introduce a novel dynamic portfolio choice method, focusing on robust out-of-sample performance rather than on optimal in-sample performance. We therefore devise a strategy that rigorously tackles the problem of estimation error. The method involves defining a discrete set of single-period...

Persistent link: https://www.econbiz.de/10012865009