Bengkulu International Conference on Economics, Management, Business and Accounting (BICEMBA)This research aims to determine the relationship between the optimal portfolio using the Markowitz and Stochastic Dominance models with stock prices as one of the bases for investment decisions. The population of this research is the LQ45 Index Companies Listed on the Indonesia Stock Exchange for 2018-2022, which consists of 45 companies.
Gita Anggraini, Nensi Yuniarti Zs
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Hedging the exchange rate risk in international portfolio diversification : currency forwards versus currency options [PDF]
, 2003 As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of ...
Maurer, Raimond, Valiani, Shohreh
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Portfolio choice and estimation risk : a comparison of Bayesian approaches to resampled efficiency [PDF]
, 2002 Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice.
Herold, Ulf, Maurer, Raimond
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Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems [PDF]
, 2015 We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance, insurance, and other
Dentcheva, Darinka +2 more
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Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences [PDF]
We investigate whether risk seeking or non-concave utility functions can help to explainthe cross-sectional pattern of stock returns. For this purpose, we analyze the stochasticdominance efficiency classification of the value-weighted market portfolio ...
Levy, H., Post, G.T.
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Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions [PDF]
, 2008 We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem.
Andrieu, Laetitia +2 more
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Neurobiological studies of risk assessment: A comparison of expected utility and mean-variance approaches [PDF]
, 2008 When modeling valuation under uncertainty, economists generally prefer expected utility because it has an axiomatic foundation, meaning that the resulting choices will satisfy a number of rationality requirements.
Bossaerts, Peter, d'Acremont, M.
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Does Risk Seeking drive Asset Prices? [PDF]
, 2002 We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio
Levy, H. (Haim), Post, G.T. (Thierry)
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Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach [PDF]
This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between
Lean, H.H., McAleer, M.J., Wong, W-K.
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Roots and Effects of Investments' Misperception [PDF]
This work deals with the problem of investors' irrational behavior and financial products' misperception. The theoretical analysis of the mechanisms driving wrong evaluations of investment performances is explored.
Rosella Castellano, Roy Cerqueti
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