{"id":52917,"date":"2024-10-30T16:24:41","date_gmt":"2024-10-30T16:24:41","guid":{"rendered":"https:\/\/www.iseg.ulisboa.pt\/?p=52917"},"modified":"2024-10-30T17:28:23","modified_gmt":"2024-10-30T17:28:23","slug":"portfolio-optimization-a-novel-nonparametric-approach-2","status":"publish","type":"post","link":"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/","title":{"rendered":"Portfolio optimization - a novel nonparametric approach"},"content":{"rendered":"

In this new paper, Jo\u00e3o Nicolau<\/a> and colleagues introduce a portfolio optimization procedure that minimizes intra-horizon risk.<\/p>\n\n\n\n

The authors use a nonparametric method for estimating first hitting time probabilities, and a novel approach to Markov chain order selection. This proposed optimization framework allows for the inclusion of innovative path-dependent measures of risk and return in the asset allocation process.<\/p>\n\n\n\n

Additionally, the authors provide an empirical application using S&P 100 companies, a risk-free asset, and stock indices. These empirical results suggest that the proposed framework exhibits more consistency between in-sample and out-of-sample performance than the mean-variance model and an alternative optimization problem that minimizes the MaxVaR measure.<\/p>\n\n\n\n

\ud83d\udd17 Zsurkis G.; Nicolau J.; Rodrigues P.M.M. (2024). First passage times in portfolio optimization: A novel nonparametric approach. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 312 (3): 1074-1085.<\/a><\/em><\/p>","protected":false},"excerpt":{"rendered":"In this new paper, Jo\u00e3o Nicolau and colleagues introduce a portfolio optimization procedure that minimizes intra-horizon risk. The authors use a nonparametric method for estimating first hitting time probabilities, and [...]","protected":false},"author":42,"featured_media":52920,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"inline_featured_image":false,"_uag_custom_page_level_css":"","footnotes":""},"categories":[1263],"topic":[4921],"acf":[],"yoast_head":"\nPortfolio optimization \u2013 a novel nonparametric approach - ISEG<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"aribeiroadvance\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/#article\",\"isPartOf\":{\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/\"},\"author\":{\"name\":\"aribeiroadvance\",\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/#\/schema\/person\/ab9f60ea2473d76b4789061f4a1c88ac\"},\"headline\":\"Portfolio optimization \u2013 a novel nonparametric approach\",\"datePublished\":\"2024-10-30T16:24:41+00:00\",\"dateModified\":\"2024-10-30T17:28:23+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/\"},\"wordCount\":138,\"publisher\":{\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/#organization\"},\"image\":{\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.iseg.ulisboa.pt\/wp-content\/uploads\/ben-kolde-bs2Ba7t69mM-unsplash-e1730304988829.jpg\",\"articleSection\":[\"Research\"],\"inLanguage\":\"en-US\"},{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/\",\"url\":\"https:\/\/www.iseg.ulisboa.pt\/en\/2024\/10\/portfolio-optimization-a-novel-nonparametric-approach-2\/\",\"name\":\"Portfolio optimization \u2013 a novel nonparametric approach - 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The authors use a nonparametric method for estimating first hitting time probabilities, and [...]","_links":{"self":[{"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/posts\/52917"}],"collection":[{"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/users\/42"}],"replies":[{"embeddable":true,"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/comments?post=52917"}],"version-history":[{"count":0,"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/posts\/52917\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/media\/52920"}],"wp:attachment":[{"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/media?parent=52917"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/categories?post=52917"},{"taxonomy":"topic","embeddable":true,"href":"https:\/\/www.iseg.ulisboa.pt\/en\/wp-json\/wp\/v2\/topic?post=52917"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}