Search results for "Sortino"
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Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
2008
AbstractThis paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.
A Generalization of the Mean-Variance Analysis
2008
In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This "mean-partial moments" utility generalizes not only the mean-variance utility of Tobin and Markowitz, but also the mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision…
Sortino. Suoni, voci, memorie della tradizione
2008
Benché i modelli della “globalizzazione” abbiano coinvolto l’intero pianeta, una piccola comunità iblea, dalle origini agropastorali, ancora si riconosce in un sistema musicale-sonoro di tradizione orale che abbraccia tutte le fasi della vita associata. I documenti sonori contenuti nei due dischi allegati al volume offrono una straordinaria testimonianza di questo repertorio. Sessantotto sono stati registrati nel corso dei rilevamenti da me condotti tra il 1987 e il 2005. A questi si aggiungono dieci preziose registrazioni provenienti dagli Archivi di Etnomusicologia dell’Accademia Nazionale di Santa Cecilia (fino al 1989 Centro Nazionale Studi di Musica Popolare) e dalle collezioni dell’As…
A Generalisation of the Mean-Variance Analysis
2009
In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This ‘mean-partial moments’ utility generalises not only mean-variance utility of Tobin and Markowitz, but also mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision maker i…
“Sortino. Suoni, voci e memorie della tradizione”
2008
recensione al volume a cura di Sergio Bonanzinga, èdito dalla Regione Siciliana (Cricd) “Archivio Sonoro Siciliano”, 5, Palermo, 2008, pp. 160.