Publication:
Optimal portfolio selection with a shortfall probability constraint: evidence from alternative distribution functions

dc.contributor.departmentDepartment of Business Administration
dc.contributor.kuauthorAkçay, Yalçın
dc.contributor.kuauthorYalçın, Atakan
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T22:49:34Z
dc.date.issued2010
dc.description.abstractWe propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results indicate that the loss-averse portfolio outperforms the widely used mean-variance approach based on the cumulative cash values, geometric mean returns, and average risk-adjusted returns. We also evaluate the relative performance of the loss-averse portfolio with normal, symmetric thin-tailed, symmetric fat-tailed, and skewed fat-tailed return distributions in terms of average return, risk, and average risk-adjusted return.
dc.description.indexedbyScopus
dc.description.issue1
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.volume33
dc.identifier.doi10.1111/j.1475-6803.2009.01263.x
dc.identifier.eissn1475-6803
dc.identifier.issn0270-2592
dc.identifier.quartileQ2
dc.identifier.scopus2-s2.0-77952528970
dc.identifier.urihttps://doi.org/10.1111/j.1475-6803.2009.01263.x
dc.identifier.urihttps://hdl.handle.net/20.500.14288/6528
dc.language.isoeng
dc.publisherWiley
dc.relation.ispartofJournal of Financial Research
dc.subjectBusiness administration
dc.titleOptimal portfolio selection with a shortfall probability constraint: evidence from alternative distribution functions
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorAkçay, Yalçın
local.contributor.kuauthorYalçın, Atakan
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Business Administration
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