Zobrazit minimální záznam

dc.contributor.authorLozza, Sergio Ortobelli
dc.contributor.authorPetronio, Filomena
dc.contributor.authorLando, Tommaso
dc.date.accessioned2017-08-09T08:44:25Z
dc.date.available2017-08-09T08:44:25Z
dc.date.issued2017
dc.identifier.citationIMA Journal of Management Mathematics. 2017, vol. 28, issue 3, p. 451-466.cs
dc.identifier.issn1471-678X
dc.identifier.issn1471-6798
dc.identifier.urihttp://hdl.handle.net/10084/117203
dc.description.abstractIn this paper, we deal with the portfolio selection problem from the point of view of different non-satiable investors: namely, risk-averse, risk-seeking, neither risk-averse nor risk-seeking. In particular, using a well-known ordering classification, we first identify different definitions of return according to the investors' preferences. The new definitions of return are based on the conditional expected value between the random wealth assessed at different times. Secondly, we propose an estimator of the conditional expected value between random variables, and we prove that it is consistent. Using the new estimator of the conditional expected value, we are able to forecast the investors' behaviour by comparing the wealth sample path obtained by taking their different preferences into account. We then examine three alternative performance measures based on dynamic and static definitions of risk applied to the new return definitions. Finally, we compare the ex-post wealth obtained by optimizing the performance measures on the US stock market during the decade 2004-2014.cs
dc.language.isoencs
dc.publisherOxford University Presscs
dc.relation.ispartofseriesIMA Journal of Management Mathematicscs
dc.relation.urihttps://doi.org/10.1093/imaman/dpv029cs
dc.rights© The authors 2015. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.cs
dc.subjectconditional expected valuecs
dc.subjectinvestors' preferencescs
dc.subjectperformance measurescs
dc.subjectportfolio selectioncs
dc.titleA portfolio return definition coherent with the investors' preferencescs
dc.typearticlecs
dc.identifier.doi10.1093/imaman/dpv029
dc.type.statusPeer-reviewedcs
dc.description.sourceWeb of Sciencecs
dc.description.volume28cs
dc.description.issue3cs
dc.description.lastpage466cs
dc.description.firstpage451cs
dc.identifier.wos000405518700008


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Zobrazit minimální záznam