条件随机优势的组合规则:在椭圆分布中的应用

Ephraim Clark, Octave Jokung
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引用次数: 0

摘要

本文将Clark-Jokung 50%投资组合定理(Management Science, 1999)推广到任意阈值,并将其应用于广泛而知名的椭圆分布(多元正态分布、Student t分布、多元指数分布等)。我们考虑两种资产组合的具体情况,其中一种资产的累积条件预期结果大于或等于另一种资产的累积条件预期结果。我们证明了当两种资产的收益的联合分布遵循椭圆分布时,100alpha%投资组合定理成立的条件是主导资产的期望收益较高,并且阈值100alpha%小于最小方差投资组合的投资百分比。
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Portfolio Rules for Conditional Stochastic Dominance: Applications to the Elliptical Distributions
In this paper we generalize the Clark-Jokung 50% portfolio theorem(Management Science, 1999) to an arbitrary threshold and we apply it to a wide and well-known family of distributions, the elliptical distributions (multivariate normal, Student t, multivariate exponential,...). We consider the specific case of a two-asset portfolio where the cumulative conditional expected outcome on one asset is greater or equal to the cumulative conditional expected outcome of the other asset.We show that when the joint distribution of the returns of the two assets follows an elliptical distribution, the conditions for 100alpha% portfolio theorem to hold are a higher expected return for the dominant asset and that the threshold 100alpha% is less than the percentage invested in the minimum-variance portfolio.
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