Skip to main content
Fachgebiete
Automobil + Motoren Bauwesen + Immobilien Business IT + Informatik Elektrotechnik + Elektronik Energie + Nachhaltigkeit Finance + Banking Management + Führung Marketing + Vertrieb Maschinenbau + Werkstoffe Versicherung + Risiko
DE
EN
Bücher
Zeitschriften
Themenseiten
Organisationspsychologie Projektmanagement Marketing Smart Manufacturing
Weitere Formate
Podcasts Webinare Technik Webinare Wirtschaft Kongresse Veranstaltungskalender Awards
Jetzt Einzelzugang starten
Zugang für Unternehmen
Referenzkunden
SLX-Digitalkonferenz: Zukunftswerkstatt 2024

Mehr Umsatz mit Top-Kontakten

Am 7. Mai erfahren Sie, wie Vertriebsteams Leadgenerierung, Leadnurturing und Leadstrategien effizient steuern können.
Erweiterte Suche
Anmelden
nach oben
Annals of Finance
Erschienen in: Annals of Finance 1/2017

29.12.2016 | Research Article

Portfolio selections under mean-variance preference with multiple priors for means and variances

verfasst von: Yuki Shigeta

Erschienen in: Annals of Finance | Ausgabe 1/2017

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

We study portfolio selections under mean-variance preference with multiple priors for means and variances. We introduce two types of multiple priors, the priors for means and the priors for variances of risky asset returns. As our framework, in the absence of a risk-free asset, the global minimum-variance portfolio is optimal when the investor is extremely ambiguity averse with respect to means, and the equally weighted portfolio is optimal when the investor is extremely ambiguity averse with respect to variances.
Vorheriger Artikel Threat of termination and firm innovation

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Jetzt informieren
Anhänge
Nur mit Berechtigung zugänglich
Fußnoten
1
We can exclude the case that the RHS of (25) converges to zero since \(C_M\), \(\eta ^\theta \), \(\eta ^V\), and \(\psi ^*\) are positive.
 
2
We modify the original problem in Pflug et al. (2012) for this to take the same form as in this paper. It can be easily seen that the problem (30) is equivalent to the original problem in Pflug et al. (2012).
 
3
The author computes the performances with the other values of \(\alpha \), \(\alpha =0,\;0.01,\;0.5,\) and 1.0. However, the ad hoc portfolio with \(\alpha = 0.1\) has the best performance among all examined ad hoc portfolios, so we do not report the cases with \(\alpha \ne 0.1\).
 
Literatur
Cass, D., Stiglitz, J.E.: The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds. J Econ Theory 2, 122–160 (1970)CrossRef
Chen, Z., Epstein, L.G.: Ambiguity, risk, and asset returns in continuous time. Econometrica 70, 1403–1443 (2002)CrossRef
DeMiguel, V., Garlappi, L., Uppal, R.: Optimal versus naive diversification: how inefficient is the \(1/N\) portfolio strategy? Rev Financ Stud 22, 1915–1953 (2009)CrossRef
Ellsberg, D.: Risk, ambiguity, and the Savage axioms. Q J Econ 75, 643–669 (1961)CrossRef
Epstein, L.G., Ji, S.: Ambiguous volatility and asset pricing in continuous time. Rev Financ Stud 26, 1740–1786 (2013)CrossRef
Epstein, L.G., Schneider, M.: Ambiguity, information quality, and asset pricing. J Finance 63, 197–228 (2008)CrossRef
Garlappi, L., Uppal, R., Wang, T.: Portfolio selection with parameter and model uncertainty: a multi-prior approach. Rev Financ Stud 20, 41–81 (2007)CrossRef
Gilboa, I., Schmeidler, D.: Maxmin expected utility with non-unique prior. J Math Econ 18, 141–153 (1989)CrossRef
Ju, N., Miao, J.: Ambiguity, learning, and asset returns. Econometrica 80, 559–591 (2012)CrossRef
Kan, R., Wang, X., Zhou, G.: On the value of portfolio optimization in the presence of estimation risk: the case with and without risk-free asset. Rotman School of Management Working Paper No. 2819254 (2016)
Kan, R., Zhou, G.: Optimal portfolio choice with parameter uncertainty. J Financ Quant Anal 42, 621–656 (2007)CrossRef
Kirby, C., Ostdiek, B.: It’s all in the timing: simple active portfolio strategies that outperform naïve diversification. J Financ Quant Anal 47, 437–467 (2012)CrossRef
Klibanoff, P., Marinacci, M., Mukerji, S.: A smooth model of decision making under ambiguity. Econometrica 73, 1849–1892 (2005)CrossRef
Ledoit, O., Wolf, M.: Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J Empir Financ 10, 603–621 (2003)CrossRef
Liu, H.: Dynamic portfolio choice under ambiguity and regime switching mean returns. J Econ Dyn Control 35, 623–640 (2011)CrossRef
Maccheroni, F., Marinacci, M., Ruffino, D.: Alpha as ambiguity: Robust mean-variance portfolio analysis. Econometrica 81, 1075–1113 (2013)CrossRef
Merton, R.C.: An analytic derivation of the efficient portfolio frontier. J Financ Quant Anal 7, 1851–1872 (1972)CrossRef
Merton, R.C.: An intertemporal capital asset pricing model. Econometrica 41, 867–887 (1973)CrossRef
Peng, S.: G-expectation, G-Brownian motion and related stochastic calculus of itô type. In: Benth, F.E., DiNunno, G., Lindstrøm, T., Øksendal, B., Zhang, T. (eds.) Stochastic Analysis and Applications: The Abel Symposium 2005, pp. 541–567. Springer, Berlin (2007)CrossRef
Pflug, G.C., Pichler, A., Wozabal, D.: The \(1/N\) investment strategy is optimal under high model ambiguity. J Bank Finance 36, 410–417 (2012)CrossRef
Savage, L.J.: The Foundations of Statistics. Wiley, New York (1954)
Schmeidler, D.: Subjective probability and expected utility without additivity. Econometrica 57, 571–587 (1989)CrossRef
Tobin, J.: Liquidity preference as behavior towards risk. Rev Econ Stud 25, 65–86 (1958)CrossRef
Wozabal, D.: Robustifying convex risk measures for linear portfolios: a nonparametric approach. Oper Res 62, 1302–1315 (2014)CrossRef
Metadaten
Titel
Portfolio selections under mean-variance preference with multiple priors for means and variances
verfasst von
Yuki Shigeta
Publikationsdatum
29.12.2016
Verlag
Springer Berlin Heidelberg
Erschienen in
Annals of Finance / Ausgabe 1/2017
Print ISSN: 1614-2446
Elektronische ISSN: 1614-2454
DOI
https://doi.org/10.1007/s10436-016-0291-7

Weitere Artikel der Ausgabe 1/2017

Annals of Finance 1/2017 Zur Ausgabe

Research Article

Does the Hurst index matter for option prices under fractional volatility?

Research Article

A simple efficient approximation to price basket stock options with volatility smile

Research Article

Banking competition and welfare

Research Article

Threat of termination and firm innovation