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dc.contributor.authorGiuzio M
dc.contributor.authorFerrari D
dc.contributor.authorPaterlini S
dc.contributor.editor
dc.date.accessioned2019-10-11T07:42:22Z
dc.date.available2019-10-11T07:42:22Z
dc.date.issued2016
dc.identifier.issn0377-2217
dc.identifier.urihttp://dx.doi.org/10.1016/j.ejor.2015.08.056
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0377221715008127?via=ihub
dc.identifier.urihttps://bia.unibz.it/handle/10863/11031
dc.description.abstractTwo important problems arising in traditional asset allocation methods are the sensitivity to estimation error of portfolio weights and the high dimensionality of the set of candidate assets. In this paper, we address both issues by proposing a new criterion for portfolio selection. The new criterion is a two-stage description of the available information, where the q-entropy, a generalized measure of information, is used to code the uncertainty of the data given the parametric model and the uncertainty related to the model choice. The information about the model is coded in terms of a prior distribution that promotes asset weights sparsity. Our approach carries out model selection and estimation in a single step, by selecting a few assets and estimating their portfolio weights simultaneously. The resulting portfolios are doubly robust, in the sense that they can tolerate deviations from both assumed data model and prior distribution for model parameters. Empirical results on simulated and real-world data support the validity of our approach. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.en_US
dc.languageEnglish
dc.language.isoenen_US
dc.publisherELSEVIER SCIENCE BVen_US
dc.relation
dc.rights
dc.subjectInvestment analysisen_US
dc.subjectPenalized least squaresen_US
dc.subjectq-entropyen_US
dc.subjectIndex trackingen_US
dc.subjectSparsityen_US
dc.titleSparse and robust normal and t- portfolios by penalized Lq-likelihood minimizationen_US
dc.typeArticleen_US
dc.date.updated2019-09-29T03:17:55Z
dc.publication.title
dc.language.isiEN-GB
dc.journal.titleEuropean Journal of Operational Research
dc.description.fulltextnoneen_US


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