On the impact of conditional expectation estimators in portfolio theory
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236822" target="_blank" >RIV/61989100:27510/17:10236822 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s10287-017-0282-9" target="_blank" >http://dx.doi.org/10.1007/s10287-017-0282-9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10287-017-0282-9" target="_blank" >10.1007/s10287-017-0282-9</a>
Alternative languages
Result language
angličtina
Original language name
On the impact of conditional expectation estimators in portfolio theory
Original language description
In this paper, we investigate the implications for portfolio theory of using conditional expectation estimators. First, we focus on the approximation of the conditional expectation within large-scale portfolio selection problems. In this context, we propose a new consistent multivariate kernel estimator to approximate the conditional expectation and it optimizes the bandwidth selection of kernel-type estimators. Second, we deal with the portfolio selection problem from the point of view of different non-satiable investors, namely risk-averse and risk-seeker investors. In particular, using a well-known ordering classification, we first identify different definitions of returns based on the investors preferences. Finally, for each problem, we examine several admissible portfolio optimization problems applied to the US stock market. The proposed empirical analysis allows us to evaluate the impact of the conditional expectation estimators in portfolio theory.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA15-23699S" target="_blank" >GA15-23699S: Risk Probability Functionals and Ordering Theory Applied to International Financial Markets and Portfolio Selection Problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Management Science
ISSN
1619-697X
e-ISSN
—
Volume of the periodical
14
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
23
Pages from-to
535-557
UT code for WoS article
000424442700005
EID of the result in the Scopus database
2-s2.0-85020190412