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A NOTE ON THE IMPACT OF NON LINEAR REWARD AND RISK MEASURES.
- Source :
- Journal of Applied Functional Analysis; Apr2010, Vol. 5 Issue 2, p195-202, 8p, 2 Graphs
- Publication Year :
- 2010
-
Abstract
- In this note, we examine the impact of non linear reward and risk measures on portfolio selection. In particular, we compare the ex-post final wealth sample paths of strategies based on the Sharpe ratio and strategies based on non-linear reward/risk measures. As suggested by the recent literature, we model dependencies with an asymmetric t copula estimated on the innovations of the marginals that follow an ARMA-GARCH type model. Therefore, we first simulate future scenarios, on the basis of which allocation decisions are made, and then we compare the ex-post final wealth obtained with non-linear risk and reward strategies and the wealth obtained with classic portfolio strategies. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15591948
- Volume :
- 5
- Issue :
- 2
- Database :
- Supplemental Index
- Journal :
- Journal of Applied Functional Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 49115698