Are independent risks substitutes according to the Generalized Sharpe Ratio?

نویسندگان

  • Dirk Tasche
  • Luisa Tibiletti
چکیده

Independent risks are substitutes if the opportunity to invest in one risk cuts down the demand in the others. Intuition seems to sustain this idea, but if the problem is tackled in a normative framework, no consensus in the literature is found. In this paper we investigate what does happen if the decision rule is based on the Generalized Sharpe Ratio. The answer depends on the risk measure under consideration. For the standard deviation, the standard semi-deviation and the Conditional Value-at-Risk (CVaR), the just mentioned intuitive idea is confirmed, but in general, this is no longer true in case of the Value-at-Risk (VaR). A related question is whether a sequence of independent risks which are individually unacceptable according to the Generalized Sharpe Ratio, can become acceptable when it is only long enough. In the context of expected utility theory this problem is known as “fallacy of large numbers”. The answer depends again on the underlying risk measure. We show for some common risk measures that any sequence of independent, identically distributed risks with positive expectations will eventually become acceptable if the the risk measure is non-degenerate and continuous in a certain sense.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

متن کامل

Comparison of Portfolios Formed by Use of Grid Strategy Model Based on New and Traditional Variables Performance With Sharpe and Treynor Measures (Evidence of IRAN Exchange)

In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...

متن کامل

رابطه میان کیفیت گزارشگری مالی و سرعت با استفاده از معیارهای ترکیبی عملکرد پرتفلیو

صندوق‏های سرمایه‏گذاری مشترک به عنوان یکی از مهمترین نهادهای بازار سرمایه با جمع‏آوری سرمایه‏های اندک امّا در سطح وسیع مخاطره سرمایه‏گذاری را به میزان قابل توجهی کاهش داده و موجب رونق و مدیریت در بازار سهام می‏شوند. در این میان سرمایه‏گذاران صندوق‏ها تلاش می‏کنند در صندوقی سرمایه‏گذاری کنند که متناسب با ریسک بازار و ریسک عملیاتی قابل تحمل، بازده بهینه‏ای کسب کنند. بنابراین سرمایه‏گذاران جهت انتخ...

متن کامل

Higher moments portfolio Optimization with unequal weights based on Generalized Capital Asset pricing model with independent and identically asymmetric Power Distribution

The main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically a...

متن کامل

Application of Clayton Copula in Portfolio Optimization and its Comparison with Markowitz Mean-Variance Analysis

With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2001