The Libraries will be performing routine maintenance on UWSpace on July 15th-16th, 2025. UWSpace will be available, though users may experience service lags during this time. We recommend all users avoid submitting new items to UWSpace until maintenance is completed.
 

Mean-Expectile Portfolio Selection

Simple item page
dc.contributor.authorLin, Hongcan
dc.contributor.authorSaunders, David
dc.contributor.authorWeng, Chengguo
dc.date.accessioned2023-11-07T18:13:40Z
dc.date.available2023-11-07T18:13:40Z
dc.date.issued2021
dc.descriptionThis is a post-peer-review, pre-copyedit version of an article published in Applied Mathematics & Optimization. The final authenticated version is available online at: https://doi.org/10.1007/s00245-019-09601-1.en
dc.description.abstractWe consider a mean-expectile portfolio selection problem in a continuous-time diffusion model. We exploit the close relationship between expectiles and the Omega performance measure to reformulate the problem as the maximization of the Omega measure, and show the equivalence between the two problems. After showing that the solution for the mean-expectile problem is not attainable but that the value function is finite, we modify the problem by introducing a bound on terminal wealth and obtain the solution by Lagrangian duality. The global expectile minimizing portfolio and efficient frontier with a terminal wealth bound are also discussed.en
dc.description.sponsorshipNSERC, RGPIN-2017-04220 || NSERC, RGPIN-2016-04001.en
dc.identifier.urihttps://doi.org/10.1007/s00245-019-09601-1
dc.identifier.urihttp://hdl.handle.net/10012/20093
dc.language.isoenen
dc.publisherSpringeren
dc.relation.ispartofseriesApplied Mathematics & Optimization;83(3)
dc.subjectexpectilesen
dc.subjectportfolio selectionen
dc.subjectefficient frontieren
dc.subjectperformance measuresen
dc.subjectOmegaen
dc.titleMean-Expectile Portfolio Selectionen
dc.typeArticleen
dcterms.bibliographicCitationLin, H., Saunders, D., & Weng, C. (2019). Mean-expectile portfolio selection. Applied Mathematics & Optimization, 83(3), 1585–1612. https://doi.org/10.1007/s00245-019-09601-1en
uws.contributor.affiliation1Faculty of Mathematicsen
uws.contributor.affiliation2Statistics and Actuarial Scienceen
uws.peerReviewStatusRevieweden
uws.scholarLevelFacultyen
uws.typeOfResourceTexten

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
MeanExpectile-R1.pdf
Size:
493.87 KB
Format:
Adobe Portable Document Format
Description:
Main article
Download

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
4.47 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Waterloo Research