| 1. |
- Javed, Farrukh, et al.
(författare)
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Tangency portfolio weights under a skew-normal model in small and large dimensions
- 2024
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Ingår i: Journal of the Operational Research Society. - : Taylor & Francis Group. - 0160-5682 .- 1476-9360. ; 75:7, s. 1395-1406
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming that the asset returns follow a matrix variate closed skew-normal distribution. We establish a stochastic representation of the linear combination of the estimated TP weights that fully characterizes its distribution. Using the stochastic representation we derive the mean and variance of the estimated weights of TP which are of key importance in portfolio analysis. Furthermore, we provide the asymptotic distribution of the linear combination of the estimated TP weights under the high-dimensional asymptotic regime, i.e., the dimension of the portfolio p and the sample size n tend to infinity such that p/n & RARR;c & ISIN;(0,1). A good performance of the theoretical findings is documented in the simulation study. In an empirical study, we apply the theoretical results to real data of the stocks included in the S & P 500 index.
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| 2. |
- Nyström, Kaj, 1969-, et al.
(författare)
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Hawkes-Based Models for High Frequency Financial Data
- 2022
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Ingår i: Journal of the Operational Research Society. - : Taylor & Francis. - 0160-5682 .- 1476-9360. ; 73:10, s. 2168-2185
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Tidskriftsartikel (refereegranskat)abstract
- Compared with low frequency data, high frequency data exhibit distinct empirical properties,including, for instance, essentially discontinuous evolution paths, time-varying intensities, and self-exciting features. All these make it more challenging to model appropriately the dynamics associatedwith high frequency data such as order arrival and price formation. To capture more accuratelythe microscopic structures and properties pertaining to the limit order books, this paper focuses onmodeling high frequency data using Hawkes processes. Two models, one with exponential kernels andthe other with power-law kernels, are introduced systematically, algorithmized precisely, and comparedwith each other extensively from various perspectives, including the goodness of fit to the original dataand the computational time in searching for the maximum likelihood estimator, with search algorithmbeing taken into consideration as well. To measure the goodness of fit, a number of quantities areproposed. Studies based on both multiple-trading-day data of one stock and multiple-stock data onone trading day indicate that Hawkes processes with slowly-decaying kernels are able to reproduce theintensity of jumps in the price processes more accurately. The results suggest that Hawkes processeswith power-law kernels and their implied long memory nature of self-excitation phenomena could, onthe level of microstructure, serve as a realistic model for high frequency data.
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| 3. |
- Petropoulos, F., et al.
(författare)
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Operational Research : methods and applications
- 2024
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Ingår i: Journal of the Operational Research Society. - : Taylor and Francis Ltd.. - 0160-5682 .- 1476-9360.
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Forskningsöversikt (refereegranskat)abstract
- Throughout its history, Operational Research has evolved to include methods, models and algorithms that have been applied to a wide range of contexts. This encyclopedic article consists of two main sections: methods and applications. The first summarises the up-to-date knowledge and provides an overview of the state-of-the-art methods and key developments in the various subdomains of the field. The second offers a wide-ranging list of areas where Operational Research has been applied. The article is meant to be read in a nonlinear fashion and used as a point of reference by a diverse pool of readers: academics, researchers, students, and practitioners. The entries within the methods and applications sections are presented in alphabetical order. The authors dedicate this paper to the 2023 Turkey/Syria earthquake victims. We sincerely hope that advances in OR will play a role towards minimising the pain and suffering caused by this and future catastrophes.
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| 4. |
- Petropoulos, Fotios, et al.
(författare)
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Operational Research : methods and applications
- 2024
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Ingår i: Journal of the Operational Research Society. - : Taylor & Francis Group. - 0160-5682 .- 1476-9360. ; 75:3, s. 423-617
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Forskningsöversikt (refereegranskat)abstract
- Throughout its history, Operational Research has evolved to include methods, models and algorithms that have been applied to a wide range of contexts. This encyclopedic article consists of two main sections: methods and applications. The first summarises the up-to-date knowledge and provides an overview of the state-of-the-art methods and key developments in the various subdomains of the field. The second offers a wide-ranging list of areas where Operational Research has been applied. The article is meant to be read in a nonlinear fashion and used as a point of reference by a diverse pool of readers: academics, researchers, students, and practitioners. The entries within the methods and applications sections are presented in alphabetical order. The authors dedicate this paper to the 2023 Turkey/Syria earthquake victims. We sincerely hope that advances in OR will play a role towards minimising the pain and suffering caused by this and future catastrophes.
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| 5. |
- Sahamkhadam, Maziar, et al.
(författare)
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Socially responsible multiobjective optimal portfolios
- 2024
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Ingår i: Journal of the Operational Research Society. - : Taylor & Francis Group. - 0160-5682 .- 1476-9360. ; , s. 1-12
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Tidskriftsartikel (refereegranskat)abstract
- This article extends the socially responsible multiobjective problem to (i) estimating optimal portfolios via reward/risk maximization, (ii) including dependence structure between asset returns using vine copulas, and (iii) incorporating enhanced indexation utilizing cumulative zero-order stochastic dominance (CZϵSD). Applying the multiobjective optimal portfolio (MOOP) approach to a sample of EuroStoxx 50 constituents, the results show that the MOOPs provide investors with the flexibility to incorporate different objectives while investing in optimal portfolios. Including social responsibility results in lower portfolio return and economic performance, but at the same time portfolio risk, expected shortfall of portfolio returns below the benchmark, and turnover are reduced. The copula-based predictive models lead to MOOPs with higher returns and reward/risk ratios. Moreover, optimizing environmental scores leads to less risky MOOPs, while optimizing social scores results in higher average return and better risk-adjusted performance.
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| 6. |
- Tanaka, Makoto, et al.
(författare)
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Regulatory jurisdiction and policy coordination : A bi-level modeling approach for performance-based environmental policy
- 2022
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Ingår i: Journal of the Operational Research Society. - : Informa UK Limited. - 0160-5682 .- 1476-9360. ; 73:3, s. 509-524
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Tidskriftsartikel (refereegranskat)abstract
- This study discusses important aspects of policy modeling based on a leader-follower game of policymakers. We specifically investigate non-cooperation between policymakers and the jurisdictional scope of regulation via bi-level programming. Performance-based environmental policy under the Clean Power Plan in the United States is chosen for our analysis. We argue that the cooperation of policymakers is welfare enhancing. Somewhat counterintuitively, full coordination among policymakers renders performance-based environmental policy redundant. We also find that distinct state-by-state regulation yields higher social welfare than broader regional regulation. This is because power producers can participate in a single power market even under state-by-state environmental regulation and arbitrage away the CO2 price differences by adjusting their generation across states. Numerical examples implemented for a stylized test network illustrate the theoretical findings.
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| 7. |
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