A Synthetic Regression Model for Large Portfolio Allocation
نویسندگان
چکیده
Portfolio allocation is an important topic in financial data analysis. In this article, based on the mean-variance optimization principle, we propose a synthetic regression model for construction of portfolio allocation, and easy to implement approach generate sample model. Compared with existing literature proposed method generating provides more accurate approximation response variable when number assets under consideration large. Due embedded leave-one-out idea, generated by has weaker within correlation, which makes resulting close optimal one. This intuitive conclusion theoretically confirmed be true asymptotic properties established article. We have also conducted intensive simulation studies article compare ones, found works better. Finally, apply real datasets. The yielded returns look very encouraging.
منابع مشابه
Large Portfolio Losses : a Dynamic Contagion Model
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality ind...
متن کاملA Fuzzy Goal Programming Model for Efficient Portfolio Selection.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
متن کاملPortfolio Allocation for Bayesian Optimization
Bayesian optimization with Gaussian processes has become an increasingly popular tool in the machine learning community. It is efficient and can be used when very little is known about the objective function, making it popular in expensive black-box optimization scenarios. It uses Bayesian methods to sample the objective efficiently using an acquisition function which incorporates the posterior...
متن کاملA New Model for Location-Allocation Problem within Queuing Framework
This paper proposes a bi-objective model for the facility location problem under a congestion system. The idea of the model is motivated by applications of locating servers in bank automated teller machines (ATMS), communication networks, and so on. This model can be specifically considered for situations in which fixed service facilities are congested by stochastic demand within queueing frame...
متن کاملEquity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE’s. Existence of a unique solution is proved and a Lagrangian formalism is given. An effective method for solving the Euler-Lagrange e...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2021
ISSN: ['1537-2707', '0735-0015']
DOI: https://doi.org/10.1080/07350015.2021.1961787