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Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

QP application. The advantage of Monte Carlo methods is that they may be extended to risk functions that are more … classical Gaussian limitations. The optimization of quadratic risk-return functions, VaR, CVaR, may be handled in a similar … risk preferences are optimized with differing multivariate distributions. Good comparisons with established results in Mean …

Persistent link: https://www.econbiz.de/10013137970

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 …

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

Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm

Drenovak, Mikica; Rankovic, Vladimir; Urošević, Branko; … - 2021

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...

Persistent link: https://www.econbiz.de/10013215136

Consumption Investment Optimization with Epstein-Zin Utility in Incomplete Markets

Xing, Hao - 2015

with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and …

Persistent link: https://www.econbiz.de/10013030017

Look-ahead benchmark biasin portfolio performance evaluation

Daniel, Gilles; Sornette, Didier; Wöhrmann, Peter - 2008

such as the Sharpe ratio as well as an underestimation of risk, as measured for instance by peak-to-valley drawdowns. We …

Persistent link: https://www.econbiz.de/10003966087

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Kraft, Holger - 2011

In an incomplete market we study the optimal consumption-portfolio decision of an investor with recursive preferences of Epstein-Zin type. Applying a classical dynamic programming approach, we formulate the associated Hamilton-Jacobi-Bellman equation and provide a suitable verification theorem....

Persistent link: https://www.econbiz.de/10013133474

Ethanol Hedging Strategies Using Dynamic Multivariate GARCH

Garcia, Sergio - 2016

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Persistent link: https://www.econbiz.de/10012979327

Response to Paul a Samuelson Letters and Papers on the Kelly Capital Growth Investment Strategy

Ziemba, William T. - 2012

properties as well such as extremely large bets for short term favorable investment situations because the Arrow-Pratt risk …

Persistent link: https://www.econbiz.de/10013099442

Traditional Optimization is Not Optimal for Leverage-Averse Investors

Jacobs, Ph.D., Bruce I. - 2014

portfolio, by balancing the portfolio's expected return against the portfolio's volatility risk and its leverage risk …

Persistent link: https://www.econbiz.de/10013062685

Survival and evolutionary stability of the Kelly rule

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009

This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...

Persistent link: https://www.econbiz.de/10003971097