Set-Portfolio Selection with the Use of Market Stochastic Bounds

被引:11
|
作者
Lozza, Sergio Ortobelli [1 ]
Angelelli, Enrico [2 ]
Toninelli, Daniele [1 ]
机构
[1] Univ Bergamo, Dept Math Stat Comp Sci & Applicat, Bergamo, Italy
[2] Univ Brescia, Dept Quantitat Methods, I-25121 Brescia, Italy
关键词
computational complexity; Markov chains; portfolio strategies; stochastic bounds; EXPECTED UTILITY; RISK; TIME;
D O I
10.2753/REE1540-496X4706S501
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper proposes an ex post comparison of portfolio selection strategies. These strategies are applied to a set of assets, preselected among about 10,000 stocks on the global market. The preselection criteria consider the joint Markovian behavior of the returns and their association with the market stochastic bounds. Furthermore, we examine the performance and the impact of different strategies that use or do not use the preselection criteria. Finally, we compare the ex post wealth obtained with the optimization of several reward-risk performance functionals that use the stochastic bounds of the preselected assets.
引用
收藏
页码:5 / 24
页数:20
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