Work

Benchmark Beating with the Increasing Convex Order

Year: 2023

Type: preprint

Abstract: In this paper we model benchmark beating with the increasing convex order (ICX order). The mean constraint in the mean-variance theory of portfolio selection can be regarded as beating a constant. We then investigate the problem of minimizing the variance of a portfolio with ICX order constraints, based on which we also study the problem of beating-performance-variance efficient portfolios. The optimal and efficient portfolios are all worked out in closed form for complete markets.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2311.01692

Author: Xia, Jianming

Institutions: Chinese Academy of Sciences, National Center for Mathematics and Interdisciplinary Sciences, Academy of Mathematics and Systems Science

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funder: National Natural Science Foundation of China

Award: G2936487484

OpenAlex ID: W4388444479

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