James R. Thompson的非参数投资组合方法

IF 4.4 2区数学 Q1 STATISTICS & PROBABILITY

Wiley Interdisciplinary Reviews-Computational Statistics Pub Date : 2020-12-22 DOI:10.1002/wics.1542

J. Dobelman

{"title":"James R. Thompson的非参数投资组合方法","authors":"J. Dobelman","doi":"10.1002/wics.1542","DOIUrl":null,"url":null,"abstract":"Asset or security returns are an example of phenomena whose distributions still cannot be convincingly modeled in a parametric framework. James R. (Jim) Thompson (1938–2017) used a variety of nonparametric approaches to develop workable investing solutions in such an environment. We review his ground breaking exploration of the veracity of the capital asset pricing model (CAPM), and several nonparametric approaches to portfolio formulation including the Simugram™, variants of his Max‐Median rule, and Tukey weightings.","PeriodicalId":47779,"journal":{"name":"Wiley Interdisciplinary Reviews-Computational Statistics","volume":" ","pages":""},"PeriodicalIF":4.4000,"publicationDate":"2020-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/wics.1542","citationCount":"0","resultStr":"{\"title\":\"Sampling James R. Thompson's inspired nonparametric portfolio approaches\",\"authors\":\"J. Dobelman\",\"doi\":\"10.1002/wics.1542\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Asset or security returns are an example of phenomena whose distributions still cannot be convincingly modeled in a parametric framework. James R. (Jim) Thompson (1938–2017) used a variety of nonparametric approaches to develop workable investing solutions in such an environment. We review his ground breaking exploration of the veracity of the capital asset pricing model (CAPM), and several nonparametric approaches to portfolio formulation including the Simugram™, variants of his Max‐Median rule, and Tukey weightings.\",\"PeriodicalId\":47779,\"journal\":{\"name\":\"Wiley Interdisciplinary Reviews-Computational Statistics\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":4.4000,\"publicationDate\":\"2020-12-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1002/wics.1542\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Wiley Interdisciplinary Reviews-Computational Statistics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1002/wics.1542\",\"RegionNum\":2,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley Interdisciplinary Reviews-Computational Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1002/wics.1542","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 0

摘要

资产或证券回报是一个现象的例子，其分布仍然不能在参数框架中令人信服地建模。James R.（Jim）Thompson（1938–2017）在这种环境下使用了各种非参数方法来开发可行的投资解决方案。我们回顾了他对资本资产定价模型（CAPM）准确性的突破性探索，以及包括Simugram在内的几种非参数投资组合公式™, 他的最大中值规则的变体，以及Tukey权重。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Sampling James R. Thompson's inspired nonparametric portfolio approaches

Asset or security returns are an example of phenomena whose distributions still cannot be convincingly modeled in a parametric framework. James R. (Jim) Thompson (1938–2017) used a variety of nonparametric approaches to develop workable investing solutions in such an environment. We review his ground breaking exploration of the veracity of the capital asset pricing model (CAPM), and several nonparametric approaches to portfolio formulation including the Simugram™, variants of his Max‐Median rule, and Tukey weightings.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Wiley Interdisciplinary Reviews-Computational Statistics STATISTICS & PROBABILITY-

CiteScore

6.20

自引率

0.00%

发文量