{"title":"Mean-risk optimization for index tracking","authors":"Yumiharu Nakano","doi":"10.1524/stnd.2006.24.1.189","DOIUrl":null,"url":null,"abstract":"SUMMARY This paper presents an analysis of the tracking problems of multiple indices with multidimensional performance criterion consisting of mean wealth and the tracking errors. We evaluate the performance of portfolios via the vector inequalities defined by convex cones, which enable us to describe various preference relations for investors. In Brownian market models with deterministic coefficients, we completely determine the set of efficient portfolios as well as the efficient frontier in our context. As a product of our analysis, we exhibit a version of Tobin's mutual fund theorem.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2006-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1524/stnd.2006.24.1.189","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistics & Risk Modeling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1524/stnd.2006.24.1.189","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
SUMMARY This paper presents an analysis of the tracking problems of multiple indices with multidimensional performance criterion consisting of mean wealth and the tracking errors. We evaluate the performance of portfolios via the vector inequalities defined by convex cones, which enable us to describe various preference relations for investors. In Brownian market models with deterministic coefficients, we completely determine the set of efficient portfolios as well as the efficient frontier in our context. As a product of our analysis, we exhibit a version of Tobin's mutual fund theorem.
期刊介绍：
Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
