David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Ezio Di Nucci
Jonathan Jenkins Ichikawa
Jack Alan Reynolds
Learn more about PhilPapers
Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss aversion and prospect theory, under which full-scale optimization is a substantially better approach than the mean-variance approach. As the equity indices have return distributions with small deviations from normality, the findings indicate much broader usefulness of full-scale optimization than has earlier been shown. The results hold in and out of sample, and the performance improvements are given in terms of utility as well as certainty equivalents.
|Keywords||No keywords specified (fix it)|
No categories specified
(categorize this paper)
Setup an account with your affiliations in order to access resources via your University's proxy server
Configure custom proxy (use this if your affiliation does not provide a proxy)
|Through your library||
References found in this work BETA
No references found.
Citations of this work BETA
No citations found.
Similar books and articles
Robert C. Richardson (1994). Optimization in Evolutionary Ecology. PSA: Proceedings of the Biennial Meeting of the Philosophy of Science Association 1994:13 - 21.
Christian Arnsperger (2000). Methodological Altruism as an Alternative Foundation for Individual Optimization. Ethical Theory and Moral Practice 3 (2):115-136.
Thomas L. Clarke (2005). Sleep is Optimizing. Behavioral and Brain Sciences 28 (1):66-67.
Thomas Bartz-Beielstein (2008). How Experimental Algorithmics Can Benefit From Mayo's Extensions to Neyman–Pearson Theory of Testing. Synthese 163 (3):385 - 396.
Sahotra Sarkar (2005). Maynard Smith, Optimization, and Evolution. Biology and Philosophy 20 (5):951-966.
Daniel J. Gilman (1993). Optimization and Simplicity: Marr's Theory of Vision and Biological Explanation. Synthese 107 (3):293-323.
Paul Weirich (2010). Optimization and Improvement. [REVIEW] Philosophical Studies 148 (3):467 - 475.
Added to index2009-01-28
Total downloads3 ( #654,707 of 1,938,452 )
Recent downloads (6 months)1 ( #449,299 of 1,938,452 )
How can I increase my downloads?