Browsing by Subject "Portfolio selection"

Now showing items 1-3 of 3

    • Mean-variance portfolio selection with the ordered weighted average 
      Laengle Scarlazetta, Sigifredo; Loyola Fuentes, Gino; Merigó Lindahl, José (IEEE, 2017)
      Portfolio selection is the theory that studies the pro-cess of selecting the optimal proportion of different assets. The firstapproach was introduced by Harry Markowitz and was based ona mean-variance framework. This paper ...
    • OWA Operators in Portfolio Selection 
      Laengle Scarlazetta, Sigifredo; Loyola Fuentes, Gino; Merigó Lindahl, José (Springer, 2015)
      Portfolio choice is the process of selecting the optimal proportion of various assets. One of the most well-known methods is the mean-variance approach developed by Harry Markowitz. This paper introduces the ordered ...
    • Portfolio performance of linear SDF models: an out-of-sample assessment 
      Guidolin, Massimo; Hansen Silva, Erwin; Lozano Banda, Martín (Routledge, 2018)
      We evaluate linear stochastic discount factor models using an ex-post portfolio metric: the realized out-of-sample Sharpe ratio of mean–variance portfolios backed by alternative linear factor models. Using a sample of ...