NAGIOS: RODERIC FUNCIONANDO

Grading investment diversification options in presence of non-historical financial information

Repositori DSpace/Manakin

IMPORTANT: Aquest repositori està en una versió antiga des del 3/12/2023. La nova instal.lació está en https://roderic.uv.es/

Grading investment diversification options in presence of non-historical financial information

dc.contributor.author	Calvo López, Clara
dc.contributor.author	Ivorra Castillo, Carlos
dc.contributor.author	Liern Carrión, Vicente
dc.contributor.author	Pérez Gladish, Blanca
dc.date.accessioned	2022-04-24T16:09:12Z
dc.date.available	2022-04-25T04:45:06Z
dc.date.issued	2021	es_ES
dc.identifier.citation	Calvo C, Ivorra C, Liern V, Pérez-Gladish B. Grading Investment Diversification Options in Presence of Non-Historical Financial Information. Mathematics. 2021; 9(6):692.	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/82350
dc.description.abstract	Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owned by the investor. To address this problem, we introduce an indicator, the historical reduction index, measuring the expected reduction of the expected return due to a given set of diversification constraints. We show that it can be used to grade the impact of each possible set of diversification constraints. Hence, the investor can choose from this gradation, the set better fitting his subjective risk-aversion level.	es_ES
dc.language.iso	en	es_ES
dc.subject	portfolio selection	es_ES
dc.subject	value of information	es_ES
dc.subject	diversification	es_ES
dc.title	Grading investment diversification options in presence of non-historical financial information	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.identifier.doi	10.3390/math9060692	es_ES
dc.accrualmethod	S	es_ES
dc.embargo.terms	0 days	es_ES