scholarly journals Portfolio performance gauging in discrete time using a Luenberger productivity indicator

2010 ◽  
Vol 34 (8) ◽  
pp. 1899-1910 ◽  
Author(s):  
Olivier Brandouy ◽  
Walter Briec ◽  
Kristiaan Kerstens ◽  
Ignace Van de Woestyne
2009 ◽  
Author(s):  
Olivier Brandouy ◽  
Walter Briec ◽  
Kristiaan Kerstens ◽  
I. Van de Woestyne

2018 ◽  
Vol 35 (1-2) ◽  
pp. 1-21
Author(s):  
Imke Redeker ◽  
Ralf Wunderlich

AbstractWe consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial markets we investigate the loss in expected utility of intermediate consumption and terminal wealth caused by imposing a dynamic risk constraint. We derive the dynamic programming equations for the resulting stochastic optimal control problems and solve them numerically. Our numerical results indicate that the loss of portfolio performance is not too large while the risk is notably reduced. We then investigate time discretization effects and find that the loss of portfolio performance resulting from imposing a risk constraint is typically bigger than the loss resulting from infrequent trading.


Methodology ◽  
2017 ◽  
Vol 13 (2) ◽  
pp. 41-60
Author(s):  
Shahab Jolani ◽  
Maryam Safarkhani

Abstract. In randomized controlled trials (RCTs), a common strategy to increase power to detect a treatment effect is adjustment for baseline covariates. However, adjustment with partly missing covariates, where complete cases are only used, is inefficient. We consider different alternatives in trials with discrete-time survival data, where subjects are measured in discrete-time intervals while they may experience an event at any point in time. The results of a Monte Carlo simulation study, as well as a case study of randomized trials in smokers with attention deficit hyperactivity disorder (ADHD), indicated that single and multiple imputation methods outperform the other methods and increase precision in estimating the treatment effect. Missing indicator method, which uses a dummy variable in the statistical model to indicate whether the value for that variable is missing and sets the same value to all missing values, is comparable to imputation methods. Nevertheless, the power level to detect the treatment effect based on missing indicator method is marginally lower than the imputation methods, particularly when the missingness depends on the outcome. In conclusion, it appears that imputation of partly missing (baseline) covariates should be preferred in the analysis of discrete-time survival data.


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