In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di se... more In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull\u2019impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la pi\uf9 efficiente
In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di se... more In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull\u2019impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la pi\uf9 efficiente
In order to evaluate and compare the advantages related with the use of the robust counterpart of... more In order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting from a set of 28 European hedge funds during 2007, a \u201cwonderful\u201d year of data for model stressing and backtesting. As we shall see, the strategies obtained by means of the robust approach have a definitely better performance and, among the robust models, CVaR dominates the other competitors because of its coherent nature
In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di se... more In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull\u2019impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la pi\uf9 efficiente
Abstract: After Tobin (1958), a considerable effort has been devoted to connecting the expected u... more Abstract: After Tobin (1958), a considerable effort has been devoted to connecting the expected utility approach to a utility function directly expressed in terms of moments. We follow the alternative route of providing, for the first time, the theoretical, autonomous foundation of an ordinal utility function of moments, representing rational choices under uncertainty, free of any ‘independence axiom ’ and compatible with all the behavioral “paradoxes ” documented in the economic literature.
La sentenza n. 47421 del 21 dicembre 2011 da parte della Cassazione Penale, Sezione II, contiene,... more La sentenza n. 47421 del 21 dicembre 2011 da parte della Cassazione Penale, Sezione II, contiene, nel corso delle motivazioni del giudizio, alcune affermazioni di natura squisitamente economica che non trovano riscontro n\ue9 teorico n\ue9 pratico nell\u2019ambito della disciplina finanziaria loro propria. L'articolo mostra la non coerenza di tali affermazioni alla luce della moderna teoria della Finanza
In this paper we propose a simple approach to asset valuation in terms of two characteristics, ex... more In this paper we propose a simple approach to asset valuation in terms of two characteristics, expected value and expected variability, and their distinct marginal contributions to the value of the market portfolio. The result is shown to correspond to Sharpe’s CAPM. We then show that pricing in terms of characteristics (or CAPM) applies to any asset and in particular to option valuation. A pricing formula corresponding to Black and Scholes ’ no-arbitrage option pricing is obtained under the assumption of normal asset price distributions. 1
In this paper we define and compare different versions of robust, in the sense of Robust Optimiza... more In this paper we define and compare different versions of robust, in the sense of Robust Optimization, and non robust portfolio selection models alternatively based on the use of different risk measures. This with the aim to take account of investors’ asymmetric preferences in profits and losses together with the goal of having solutions less dependent on the parameter uncertainty. The empirical implementation considers the time series of the monthly prices of some representatives benchmarks in a time period characterized by a very particular set of financial events and therefore an ideal time to test the different portfolios strategies related to the alternative models. We show that the robust CVaR approach is preferable compared with the others and with the risk-free portfolio. The results can have very interesting applications in the field of the asset management industry.
Trading strategies translate goals and constraints of asset management into dynamic, intertempora... more Trading strategies translate goals and constraints of asset management into dynamic, intertemporal, and coherent portfolio decisions. Under special assumptions, myopic portfolio policies are shown to be optimal and constant over time. In general, however, both optimal theoretical portfolios and current portfolio positions are subject to random movements so that periodic monitoring and rebalancing are necessary. Transaction and monitoring costs create a tradeoff between the cost of not being at the optimal allocation (tracking error) and the cost of swapping the current portfolio for the optimal one. Optimal rebalancing results in the replacement of the optimal allocation with a no-trade region delimited by rebalance boundaries. The factors influencing the boundaries and the rebalancing decisions can be analytically and numerically explained. Popular rebalancing rules imply a substantial amount of excess trading costs, but they can generate positive net returns in the case of mean-re...
In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di se... more In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull\u2019impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la pi\uf9 efficiente
In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di se... more In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull\u2019impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la pi\uf9 efficiente
In order to evaluate and compare the advantages related with the use of the robust counterpart of... more In order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting from a set of 28 European hedge funds during 2007, a \u201cwonderful\u201d year of data for model stressing and backtesting. As we shall see, the strategies obtained by means of the robust approach have a definitely better performance and, among the robust models, CVaR dominates the other competitors because of its coherent nature
In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di se... more In questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull\u2019impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la pi\uf9 efficiente
Abstract: After Tobin (1958), a considerable effort has been devoted to connecting the expected u... more Abstract: After Tobin (1958), a considerable effort has been devoted to connecting the expected utility approach to a utility function directly expressed in terms of moments. We follow the alternative route of providing, for the first time, the theoretical, autonomous foundation of an ordinal utility function of moments, representing rational choices under uncertainty, free of any ‘independence axiom ’ and compatible with all the behavioral “paradoxes ” documented in the economic literature.
La sentenza n. 47421 del 21 dicembre 2011 da parte della Cassazione Penale, Sezione II, contiene,... more La sentenza n. 47421 del 21 dicembre 2011 da parte della Cassazione Penale, Sezione II, contiene, nel corso delle motivazioni del giudizio, alcune affermazioni di natura squisitamente economica che non trovano riscontro n\ue9 teorico n\ue9 pratico nell\u2019ambito della disciplina finanziaria loro propria. L'articolo mostra la non coerenza di tali affermazioni alla luce della moderna teoria della Finanza
In this paper we propose a simple approach to asset valuation in terms of two characteristics, ex... more In this paper we propose a simple approach to asset valuation in terms of two characteristics, expected value and expected variability, and their distinct marginal contributions to the value of the market portfolio. The result is shown to correspond to Sharpe’s CAPM. We then show that pricing in terms of characteristics (or CAPM) applies to any asset and in particular to option valuation. A pricing formula corresponding to Black and Scholes ’ no-arbitrage option pricing is obtained under the assumption of normal asset price distributions. 1
In this paper we define and compare different versions of robust, in the sense of Robust Optimiza... more In this paper we define and compare different versions of robust, in the sense of Robust Optimization, and non robust portfolio selection models alternatively based on the use of different risk measures. This with the aim to take account of investors’ asymmetric preferences in profits and losses together with the goal of having solutions less dependent on the parameter uncertainty. The empirical implementation considers the time series of the monthly prices of some representatives benchmarks in a time period characterized by a very particular set of financial events and therefore an ideal time to test the different portfolios strategies related to the alternative models. We show that the robust CVaR approach is preferable compared with the others and with the risk-free portfolio. The results can have very interesting applications in the field of the asset management industry.
Trading strategies translate goals and constraints of asset management into dynamic, intertempora... more Trading strategies translate goals and constraints of asset management into dynamic, intertemporal, and coherent portfolio decisions. Under special assumptions, myopic portfolio policies are shown to be optimal and constant over time. In general, however, both optimal theoretical portfolios and current portfolio positions are subject to random movements so that periodic monitoring and rebalancing are necessary. Transaction and monitoring costs create a tradeoff between the cost of not being at the optimal allocation (tracking error) and the cost of swapping the current portfolio for the optimal one. Optimal rebalancing results in the replacement of the optimal allocation with a no-trade region delimited by rebalance boundaries. The factors influencing the boundaries and the rebalancing decisions can be analytically and numerically explained. Popular rebalancing rules imply a substantial amount of excess trading costs, but they can generate positive net returns in the case of mean-re...
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