On the impact of semidefinite positive correlation measures in portfolio theory

Sergio Ortobelli and Tomáš Tichý ()

Annals of Operations Research, 2015, vol. 235, issue 1, 625-652

Abstract: In this paper potential usage of different correlation measures in portfolio problems is studied. We characterize especially semidefinite positive correlation measures consistent with the choices of risk-averse investors. Moreover, we propose a new approach to portfolio selection problem, which optimizes the correlation between the portfolio and one or two market benchmarks. We also discuss why should correlation measures be used to reduce the dimensionality of large scale portfolio problems. Finally, through an empirical analysis, we show the impact of different correlation measures on portfolio selection problems and on dimensionality reduction problems. In particular, we compare the ex post sample paths of several portfolio strategies based on different risk measures and correlation measures. Copyright Springer Science+Business Media New York 2015

Keywords: Concordance measure; Dimensionality reduction; Large scale portfolio selection; Reward measure; Semidefinite positive association measure; 1G10; 15A03; 80M50 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-015-1962-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:235:y:2015:i:1:p:625-652:10.1007/s10479-015-1962-x

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-015-1962-x

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().