Stochastic Bounds for Reference Sets in Portfolio Analysis
| العنوان: | Stochastic Bounds for Reference Sets in Portfolio Analysis |
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| المؤلفون: | Nikolas Topaloglou, Thierry Post, Stelios Arvanitis |
| المصدر: | Management Science. 67:7737-7754 |
| بيانات النشر: | Institute for Operations Research and the Management Sciences (INFORMS), 2021. |
| سنة النشر: | 2021 |
| مصطلحات موضوعية: | Mathematical optimization, 050208 finance, Linear programming, Strategy and Management, 05 social sciences, Stochastic dominance, Management Science and Operations Research, Set (abstract data type), Computer Science::Computational Engineering, Finance, and Science, 0502 economics and business, Portfolio, 050207 economics, Modern portfolio theory, Mathematics |
| الوصف: | A stochastic bound is a portfolio that stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio that comes as close as possible to this ideal. To identify and analyze exact or approximate bounds, feasible approaches to numerical optimization and statistical inference are developed based on linear programming and subsampling. The use of reference sets and stochastic bounds is shown to improve investment performance in representative applications to enhanced benchmarking using equity industry rotation and equity index options combinations. This paper was accepted by Kay Giesecke, finance. |
| تدمد: | 1526-5501 0025-1909 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::e0d5ce4ae11946a6e5d8a832ccf244cf https://doi.org/10.1287/mnsc.2020.3838 |
| رقم الأكسشن: | edsair.doi...........e0d5ce4ae11946a6e5d8a832ccf244cf |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 15265501 00251909 |
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