Benchmark Beating with the Increasing Convex Order

Autor:	Xia, Jianming
Rok vydání:	2023
Předmět:	Quantitative Finance - Portfolio Management Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	In this paper we model benchmark beating with the increasing convex order (ICX order). The mean constraint in the mean-variance theory of portfolio selection can be regarded as beating a constant. We then investigate the problem of minimizing the variance of a portfolio with ICX order constraints, based on which we also study the problem of beating-performance-variance efficient portfolios. The optimal and efficient portfolios are all worked out in closed form for complete markets.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2311.01692 Zobrazit plný text záznamu View this record from Arxiv