arXiv - QuantFin - Portfolio Management最新文献_第3页

Examples and Counterexamples of Cost-efficiency in Incomplete Markets 不完全市场成本效率的实例和反例

arXiv - QuantFin - Portfolio Management Pub Date : 2024-07-03 DOI: arxiv-2407.08756

Carole Bernard, Stephan Sturm

引用次数: 0

Portfolio optimisation: bridging the gap between theory and practice 优化投资组合：弥合理论与实践之间的差距

arXiv - QuantFin - Portfolio Management Pub Date : 2024-07-01 DOI: arxiv-2407.00887

Cristiano Arbex Valle

{"title":"Portfolio optimisation: bridging the gap between theory and practice","authors":"Cristiano Arbex Valle","doi":"arxiv-2407.00887","DOIUrl":"https://doi.org/arxiv-2407.00887","url":null,"abstract":"Portfolio optimisation is widely acknowledged for its significance in\u0000investment decision-making. Yet, existing methodologies face several\u0000limitations, among them converting optimal theoretical portfolios into real\u0000investment is not always straightforward. Several classes of exogenous\u0000(real-world) constraints have been proposed in literature with the intent of\u0000reducing the gap between theory and practice, which have worked to an extent. In this paper, we propose an optimisation-based framework which attempts to\u0000further reduce this gap. We have the explicit intention of producing portfolios\u0000that can be immediately converted into financial holdings. Our proposed\u0000framework is generic in the sense that it can be used in conjunction with any\u0000portfolio selection model, and consists of splitting the portfolio selection\u0000problem into two-stages. The main motivation behind this approach is in\u0000enabling automated investing with minimal human intervention, and thus the\u0000framework was built in such a way that real-world market features can be\u0000incorporated with relative ease. Among the novel contributions of this paper,\u0000this is the first work, to the best of our knowledge, to combine futures\u0000contracts and equities in a single framework, and also the first to consider\u0000borrowing costs in short positions. We present extensive computational results to illustrate the applicability of\u0000our approach and to evaluate its overall quality. Among these experiments, we\u0000observed that alternatives from literature are susceptible to numerical errors,\u0000whereas our approach effectively mitigates this issue.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141532362","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Vector-valued robust stochastic control 矢量值稳健随机控制

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-29 DOI: arxiv-2407.00266

Igor Cialenco, Gabriela Kováčová

{"title":"Vector-valued robust stochastic control","authors":"Igor Cialenco, Gabriela Kováčová","doi":"arxiv-2407.00266","DOIUrl":"https://doi.org/arxiv-2407.00266","url":null,"abstract":"We study a dynamic stochastic control problem subject to Knightian\u0000uncertainty with multi-objective (vector-valued) criteria. Assuming the\u0000preferences across expected multi-loss vectors are represented by a given, yet\u0000general, preorder, we address the model uncertainty by adopting a robust or\u0000minimax perspective, minimizing expected loss across the worst-case model. For\u0000loss functions taking real (or scalar) values, there is no ambiguity in\u0000interpreting supremum and infimum. In contrast to the scalar case, major\u0000challenges for multi-loss control problems include properly defining and\u0000interpreting the notions of supremum and infimum, and addressing the\u0000non-uniqueness of these suprema and infima. To deal with these, we employ the\u0000notion of an ideal point vector-valued supremum for the robust part of the\u0000problem, while we view the control part as a multi-objective (or vector)\u0000optimization problem. Using a set-valued framework, we derive both a weak and\u0000strong version of the dynamic programming principle (DPP) or Bellman equations\u0000by taking the value function as the collection of all worst expected losses\u0000across all feasible actions. The weak version of Bellman's principle is proved\u0000under minimal assumptions. To establish a stronger version of DPP, we introduce\u0000the rectangularity property with respect to a general preorder. We also further\u0000study a particular, but important, case of component-wise partial order of\u0000vectors, for which we additionally derive DPP under a different set-valued\u0000notion for the value function, the so-called upper image of the multi-objective\u0000problem. Finally, we provide illustrative examples motivated by financial\u0000problems. These results will serve as a foundation for addressing time-inconsistent\u0000problems subject to model uncertainty through the lens of a set-valued\u0000framework, as well as for studying multi-portfolio allocation problems under\u0000model uncertainty.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"81 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141523136","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal consumption under loss-averse multiplicative habit-formation preferences 损失规避型乘法习惯养成偏好下的最优消费

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-28 DOI: arxiv-2406.20063

Bahman Angoshtari, Xiang Yu, Fengyi Yuan

{"title":"Optimal consumption under loss-averse multiplicative habit-formation preferences","authors":"Bahman Angoshtari, Xiang Yu, Fengyi Yuan","doi":"arxiv-2406.20063","DOIUrl":"https://doi.org/arxiv-2406.20063","url":null,"abstract":"This paper studies a loss-averse version of the multiplicative habit\u0000formation preference and the corresponding optimal investment and consumption\u0000strategies over an infinite horizon. The agent's consumption preference is\u0000depicted by a general S-shaped utility function of her consumption-to-habit\u0000ratio. By considering the concave envelope of the S-shaped utility and the\u0000associated dual value function, we provide a thorough analysis of the HJB\u0000equation for the concavified problem via studying a related nonlinear free\u0000boundary problem. Based on established properties of the solution to this free\u0000boundary problem, we obtain the optimal consumption and investment policies in\u0000feedback form. Some new and technical verification arguments are developed to\u0000cope with generality of the utility function. The equivalence between the\u0000original problem and the concavified problem readily follows from the structure\u0000of the feedback policies. We also discuss some quantitative properties of the\u0000optimal policies under several commonly used S-shaped utilities, complemented\u0000by illustrative numerical examples and their financial implications.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141523134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments 区块链风险平价线：从投资的有效边界走向最终边界

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-26 DOI: arxiv-2407.09536

Ravi Kashyap

{"title":"The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments","authors":"Ravi Kashyap","doi":"arxiv-2407.09536","DOIUrl":"https://doi.org/arxiv-2407.09536","url":null,"abstract":"We engineer blockchain based risk managed portfolios by creating three funds\u0000with distinct risk and return profiles: 1) Alpha - high risk portfolio; 2) Beta\u0000- mimics the wider market; and 3) Gamma - represents the risk free rate\u0000adjusted to beat inflation. Each of the sub-funds (Alpha, Beta and Gamma)\u0000provides risk parity because the weight of each asset in the corresponding\u0000portfolio is set to be inversely proportional to the risk derived from\u0000investing in that asset. This can be equivalently stated as equal risk\u0000contributions from each asset towards the overall portfolio risk. We provide detailed mechanics of combining assets - including mathematical\u0000formulations - to obtain better risk managed portfolios. The descriptions are\u0000intended to show how a risk parity based efficient frontier portfolio\u0000management engine - that caters to different risk appetites of investors by\u0000letting each individual investor select their preferred risk-return combination\u0000- can be created seamlessly on blockchain. Any Investor - using decentralized ledger technology - can select their\u0000desired level of risk, or return, and allocate their wealth accordingly among\u0000the sub funds, which balance one another under different market conditions.\u0000This evolution of the risk parity principle - resulting in a mechanism that is\u0000geared to do well under all market cycles - brings more robust performance and\u0000can be termed as conceptual parity. We have given several numerical examples that illustrate the various\u0000scenarios that arise when combining Alpha, Beta and Gamma to obtain Parity. The final investment frontier is now possible - a modification to the\u0000efficient frontier, thus becoming more than a mere theoretical construct - on\u0000blockchain since anyone from anywhere can participate at anytime to obtain\u0000wealth appreciation based on their financial goals.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141718716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimizing Sparse Mean-Reverting Portfolio 优化稀疏均值回复组合

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-24 DOI: arxiv-2406.17155

Sung Min Yoon

引用次数: 0

Covariance Matrix Analysis for Optimal Portfolio Selection 优化投资组合选择的协方差矩阵分析

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-23 DOI: arxiv-2407.08748

Lim Hao Shen Keith

{"title":"Covariance Matrix Analysis for Optimal Portfolio Selection","authors":"Lim Hao Shen Keith","doi":"arxiv-2407.08748","DOIUrl":"https://doi.org/arxiv-2407.08748","url":null,"abstract":"In portfolio risk minimization, the inverse covariance matrix of returns is\u0000often unknown and has to be estimated in practice. This inverse covariance\u0000matrix also prescribes the hedge trades in which a stock is hedged by all the\u0000other stocks in the portfolio. In practice with finite samples, however,\u0000multicollinearity gives rise to considerable estimation errors, making the\u0000hedge trades too unstable and unreliable for use. By adopting ideas from\u0000current methodologies in the existing literature, we propose 2 new estimators\u0000of the inverse covariance matrix, one which relies only on the l2 norm while\u0000the other utilizes both the l1 and l2 norms. These 2 new estimators are\u0000classified as shrinkage estimators in the literature. Comparing favorably with\u0000other methods (sample-based estimation, equal-weighting, estimation based on\u0000Principal Component Analysis), a portfolio formed on the proposed estimators\u0000achieves substantial out-of-sample risk reduction and improves the\u0000out-of-sample risk-adjusted returns of the portfolio, particularly in\u0000high-dimensional settings. Furthermore, the proposed estimators can still be\u0000computed even in instances where the sample covariance matrix is\u0000ill-conditioned or singular","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141722103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Asymptotic methods for transaction costs 交易成本的渐近方法

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-20 DOI: arxiv-2407.07100

Eberhard Mayerhofer

引用次数: 0

Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms 分布未知的长期投资中的均值-方差投资组合选择：在线估计、模糊条件下的风险规避和算法的普遍性

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-19 DOI: arxiv-2406.13486

Duy Khanh Lam

{"title":"Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms","authors":"Duy Khanh Lam","doi":"arxiv-2406.13486","DOIUrl":"https://doi.org/arxiv-2406.13486","url":null,"abstract":"The standard approach for constructing a Mean-Variance portfolio involves\u0000estimating parameters for the model using collected samples. However, since the\u0000distribution of future data may not resemble that of the training set, the\u0000out-of-sample performance of the estimated portfolio is worse than one derived\u0000with true parameters, which has prompted several innovations for better\u0000estimation. Instead of treating the data without a timing aspect as in the\u0000common training-backtest approach, this paper adopts a perspective where data\u0000gradually and continuously reveal over time. The original model is recast into\u0000an online learning framework, which is free from any statistical assumptions,\u0000to propose a dynamic strategy of sequential portfolios such that its empirical\u0000utility, Sharpe ratio, and growth rate asymptotically achieve those of the true\u0000portfolio, derived with perfect knowledge of the future data. When the distribution of future data has a normal shape, the growth rate of\u0000wealth is shown to increase by lifting the portfolio along the efficient\u0000frontier through the calibration of risk aversion. Since risk aversion cannot\u0000be appropriately predetermined, another proposed algorithm updating this\u0000coefficient over time forms a dynamic strategy approaching the optimal\u0000empirical Sharpe ratio or growth rate associated with the true coefficient. The\u0000performance of these proposed strategies is universally guaranteed under\u0000specific stochastic markets. Furthermore, in stationary and ergodic markets,\u0000the so-called Bayesian strategy utilizing true conditional distributions, based\u0000on observed past market information during investment, almost surely does not\u0000perform better than the proposed strategies in terms of empirical utility,\u0000Sharpe ratio, or growth rate, which, in contrast, do not rely on conditional\u0000distributions.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141528898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients 具有随机系数的克拉梅尔-伦德伯格模型下的受约束均值方差投资-再保险

arXiv - QuantFin - Portfolio Management Pub Date : 2024-06-15 DOI: arxiv-2406.10465

Xiaomin Shi, Zuo Quan Xu

{"title":"Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients","authors":"Xiaomin Shi, Zuo Quan Xu","doi":"arxiv-2406.10465","DOIUrl":"https://doi.org/arxiv-2406.10465","url":null,"abstract":"In this paper, we study an optimal mean-variance investment-reinsurance\u0000problem for an insurer (she) under a Cram'er-Lundberg model with random\u0000coefficients. At any time, the insurer can purchase reinsurance or acquire new\u0000business and invest her surplus in a security market consisting of a risk-free\u0000asset and multiple risky assets, subject to a general convex cone investment\u0000constraint. We reduce the problem to a constrained stochastic linear-quadratic\u0000control problem with jumps whose solution is related to a system of partially\u0000coupled stochastic Riccati equations (SREs). Then we devote ourselves to\u0000establishing the existence and uniqueness of solutions to the SREs by pure\u0000backward stochastic differential equation (BSDE) techniques. We achieve this\u0000with the help of approximation procedure, comparison theorems for BSDEs with\u0000jumps, log transformation and BMO martingales. The efficient\u0000investment-reinsurance strategy and efficient mean-variance frontier are\u0000explicitly given through the solutions of the SREs, which are shown to be a\u0000linear feedback form of the wealth process and a half-line, respectively.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"252 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141528900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0