Distance Measures for Portfolio Selection

Di Tollo, G.; Lokketangen, A.

Risultato della ricerca: Chapter

Abstract

The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios. The final user has to discriminate amongst these points by resorting to an external criterion in order to decide which portfolio to invest in. We propose to define an external portfolio that corresponds to a desired criterion, and to assess its distance from the Markowitz frontier in market allowing for short-sellings or not. We show that this distance is able to give us useful information about out-of-sample performances. The pursued objective is to provide an operational method for discriminating amongst non-dominated portfolios considering the investors’ preferences
Lingua originaleEnglish
Titolo della pubblicazione ospiteFinancial Decision Aid Using Multiple Criteria
Pagine113-129
Numero di pagine17
VolumeFinancial Decision Aid Using Multiple Criteria
Stato di pubblicazionePublished - 2017

Serie di pubblicazioni

NomeMULTIPLE CRITERIA DECISION MAKING

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Distance measure
Expected returns
Portfolio selection
Efficient frontier
Investors
Pareto
Short selling

Cita questo

Di Tollo, G.; Lokketangen, A. (2017). Distance Measures for Portfolio Selection. In Financial Decision Aid Using Multiple Criteria (Vol. Financial Decision Aid Using Multiple Criteria, pagg. 113-129). (MULTIPLE CRITERIA DECISION MAKING).

Distance Measures for Portfolio Selection. / Di Tollo, G.; Lokketangen, A.

Financial Decision Aid Using Multiple Criteria. Vol. Financial Decision Aid Using Multiple Criteria 2017. pag. 113-129 (MULTIPLE CRITERIA DECISION MAKING).

Risultato della ricerca: Chapter

Di Tollo, G.; Lokketangen, A. 2017, Distance Measures for Portfolio Selection. in Financial Decision Aid Using Multiple Criteria. vol. Financial Decision Aid Using Multiple Criteria, MULTIPLE CRITERIA DECISION MAKING, pagg. 113-129.
Di Tollo, G.; Lokketangen, A. Distance Measures for Portfolio Selection. In Financial Decision Aid Using Multiple Criteria. Vol. Financial Decision Aid Using Multiple Criteria. 2017. pag. 113-129. (MULTIPLE CRITERIA DECISION MAKING).
Di Tollo, G.; Lokketangen, A. / Distance Measures for Portfolio Selection. Financial Decision Aid Using Multiple Criteria. Vol. Financial Decision Aid Using Multiple Criteria 2017. pagg. 113-129 (MULTIPLE CRITERIA DECISION MAKING).
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