An optimal combination of risk-return and naive hedging

DOI10.1214/14-BJPS238MaRDI QIDQ2517099zbMATH OpenFDO

Authors Wan-Yi Chiu

Publication date 14 August 2015

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1433983070

zbMATH Keywords

combined forecastsnaive hedgingnaive ruleoptimal hedgingrisk-return hedging

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A simple test of optimal hedging policy
• An identity for the Wishart distribution with applications
• Computing the nondominated surface in tri-criterion portfolio selection
• Distributional properties of portfolio weights
• Estimation for Markowitz Efficient Portfolios
• Multiple objective decision making - methods and applications. A state- of-the-art survey. In collaboration with Sudhakar R. Paidy and Kwangsun Yoon

Cited in

(4)

• Naive versus optimal diversification: tail risk and performance
• Note—Naive Diversification and Portfolio Risk—A Note
• Rational explanation for rule-of-thumb practices in asset allocation
• Can volatility solve the naive portfolio puzzle?

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