کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084810 1477914 2015 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Focusing on the worst state for robust investing
ترجمه فارسی عنوان
تمرکز بر بدترین حالت برای سرمایه گذاری قوی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Despite its shortcomings, the Markowitz model remains the norm for asset allocation and portfolio construction. A major issue involves sensitivity of the model's solution to its input parameters. The prevailing approach employed by practitioners to overcome this problem is to use worst-case optimization. Generally, these methods have been adopted without incorporating equity market behavior and we believe that an analysis is necessary. Therefore, in this paper, we present the importance of market information during the worst state for achieving robust performance. We focus on the equity market and find that the optimal portfolio in a market with multiple states is the portfolio with robust returns and observe that focusing on the worst market state provides robust returns. Furthermore, we propose alternative robust approaches that emphasize returns during market downside periods without solving worst-case optimization problems. Through our analyses, we demonstrate the value of focusing on the worst market state and as a result find support for the value of worst-case optimization for achieving portfolio robustness.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 39, May 2015, Pages 19-31
نویسندگان
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