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pro vyhledávání: '"outperformance probability"'
Akademický článek
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Autor:
Puhalskii, Anatolii A.1
Publikováno v:
Mathematical Finance. Jan2011, Vol. 21 Issue 1, p145-167. 23p.
Autor:
Ferdinand Huber, Gabriel Frahm
Publikováno v:
Journal of Risk and Financial Management, Vol 12, Iss 3, p 108 (2019)
Journal of Risk and Financial Management
Volume 12
Issue 3
Journal of Risk and Financial Management
Volume 12
Issue 3
We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc0d68024dcab7142d2fac983a68400f
https://doi.org/10.3390/jrfm12030108
https://doi.org/10.3390/jrfm12030108
Autor:
Anatolii A. Puhalskii
Publikováno v:
Mathematical Finance. 21:145-167
We consider the problem of optimal portfolio selection for a multidimensional geometric Brownian motion model. We look for portfolios that maximize the probability of outperforming a stochastic benchmark. More specifically, we seek to maximize the de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::809bc487f13e27fc94b7524bb2d50d58
https://doi.org/10.1111/j.1467-9965.2010.00420.x
https://doi.org/10.1111/j.1467-9965.2010.00420.x
Autor:
Wolff, Dominik1,2,3 (AUTHOR) dominik.wolff@deka.de, Echterling, Fabian4 (AUTHOR)
Publikováno v:
Journal of Forecasting. Jan2024, Vol. 43 Issue 1, p81-102. 22p.
Autor:
Breitung, Christian1 (AUTHOR) christian.breitung@tum.de
Publikováno v:
Journal of Empirical Finance. Jun2023, Vol. 72, p532-556. 25p.
Autor:
Flint, Emlyn1 (AUTHOR) emlynf@peresec.com
Publikováno v:
Investment Analysts Journal. Sep2023, Vol. 52 Issue 3, p189-201. 13p.
Autor:
Puhalskii, Anatolii A.1 (AUTHOR) puhalski@mailfrom.ru
Publikováno v:
Applied Mathematics & Optimization. Aug2019, Vol. 80 Issue 1, p1-62. 62p.
Autor:
Qiang Bu1 qxb1@psu.edu
Publikováno v:
Proceedings of the Northeast Business & Economics Association. 2023, p17-20. 4p.
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.
Autor:
Leung, Tim1 leung@ieor.columbia.edu, Song, Qingshuo2 song.qingshuo@cityu.edu.hk, Yang, Jie3 jyang06@math.uic.edu
Publikováno v:
Finance & Stochastics. Oct2013, Vol. 17 Issue 4, p839-870. 32p.