Market outperformance by nonparametric, simugram-based portfolio selection
| dc.contributor.advisor | Thompson, James R. | |
| dc.contributor.advisor | Williams, Edward E. | |
| dc.creator | Dobelman, John August | |
| dc.date.accessioned | 2009-06-04T08:15:39Z | |
| dc.date.available | 2009-06-04T08:15:39Z | |
| dc.date.issued | 2004 | |
| dc.description.abstract | A new portfolio selection system is presented which weights components in a target major market index such that the resulting portfolio consistently outperforms the underlying market index by most any multi-period return measure. This is accomplished by use of the simugram, which gives a simulation-based distribution of outcomes of a stochastic experiment. This distribution is time- or space indexed and presents the whole distribution instead of a few moments. When applied to financial engineering problems, it provides a time-indexed risk profile of positions, which is applied as the objective function in the non-linear optimization of portfolio weights. This technique is in contrast to the mean-variance selection model, which seeks to minimize portfolio variance subject to a target return. The simugram-based selection system maximizes portfolio return subject to a non-linear risk tolerance parameter based on the simugram risk profile of all possible portfolio outcomes. For the SP-100 stock index portfolio in the 33-year study period, using multi-period return measures of annualized return and terminal value, the simugram annualized return is on the order of 3 times that of the market benchmark. And for every $l million the market returned in terminal value over this time, the simugram portfolio returned $45 million. | |
| dc.format.extent | 169 p. | en_US |
| dc.format.mimetype | application/pdf | |
| dc.identifier.callno | THESIS STAT. 2004 DOBELMAN | |
| dc.identifier.citation | Dobelman, John August. "Market outperformance by nonparametric, simugram-based portfolio selection." (2004) Diss., Rice University. <a href="https://hdl.handle.net/1911/18622">https://hdl.handle.net/1911/18622</a>. | |
| dc.identifier.uri | https://hdl.handle.net/1911/18622 | |
| dc.language.iso | eng | |
| dc.rights | Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder. | |
| dc.subject | Statistics | |
| dc.subject | Economics | |
| dc.subject | Finance | |
| dc.title | Market outperformance by nonparametric, simugram-based portfolio selection | |
| dc.type | Thesis | |
| dc.type.material | Text | |
| thesis.degree.department | Statistics | |
| thesis.degree.discipline | Engineering | |
| thesis.degree.grantor | Rice University | |
| thesis.degree.level | Doctoral | |
| thesis.degree.name | Doctor of Philosophy |
Files
Original bundle
1 - 1 of 1