A portfolio return definition coherent with the investors' preferences

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10238018" target="_blank" >RIV/61989100:27510/17:10238018 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1093/imaman/dpv029" target="_blank" >http://dx.doi.org/10.1093/imaman/dpv029</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1093/imaman/dpv029" target="_blank" >10.1093/imaman/dpv029</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A portfolio return definition coherent with the investors' preferences

Popis výsledku v původním jazyce

In this paper, we deal with the portfolio selection problem from the point of view of different nonsatiable 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&apos; 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&apos; 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. © 2015 The authors.

Název v anglickém jazyce

A portfolio return definition coherent with the investors' preferences

Popis výsledku anglicky

In this paper, we deal with the portfolio selection problem from the point of view of different nonsatiable 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&apos; 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&apos; 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. © 2015 The authors.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA13-13142S" target="_blank" >GA13-13142S: Ověření vhodnosti jednotlivých Lévyho modelů pro vybrané úlohy finanční modelování</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

IMA Journal of Management Mathematics

ISSN

1471-678X

e-ISSN

—

Svazek periodika

28

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

16

Strana od-do

451-466

Kód UT WoS článku

000405518700008

EID výsledku v databázi Scopus

2-s2.0-85023744510