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Essays on Modern Portfolio Theory and Decision Making Under Risk.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Modern Portfolio Theory and Decision Making Under Risk./
Author:	Samartzis, George K.
Description:	1 online resource (160 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-11, Section: A.
Contained By:	Dissertations Abstracts International84-11A.
Subject:	Sample size. -
Online resource:	click for full text (PQDT)
ISBN:	9798379469085

Essays on Modern Portfolio Theory and Decision Making Under Risk.
Samartzis, George K.

Essays on Modern Portfolio Theory and Decision Making Under Risk. - 1 online resource (160 pages)

Source: Dissertations Abstracts International, Volume: 84-11, Section: A.

Thesis (Ph.D.)--University of Piraeus (Greece), 2023.

Includes bibliographical references

In 1990, Harry Markowitz received the Nobel prize for his pioneering work in Modern Portfolio Theory. It was back in 1952 Markowitz [64] when he introduced the Mean Variance Criterion (hereafter; MVC) or as is else called the Mean Variance Optimization (hereafter; MVO) method. The idea was simple but rather intriguing. Under the appropriate assumptions, an investor could diversify his portfolio based only on the first two moments of his portfolio's returns. This perspective was so groundbreaking that led to some sort of skepticism, with the first reaction coming directly from Markowitz's doctoral supervisor, Nobel laureate Professor Milton Friedman. Professor Friedman remarked that although Markowitz's idea was interesting, it was not economics. The reason Friedman made such a statement was because at that point of time (and still to this day) the academic world had adopted the idea that all that an investor wants to do is to maximize his expected utility. This concept, known as the Representation Theorem, had been proven by Von Neumann and Morgenstern (hereafter; VN-M). Thus, any new idea had to be analyzed under this framework. In 1959, Markowitz [65] addressed this criticism by analyzing his idea under the notion of utility. More specifically, Markowitz made the case that for any investor with an approximately quadratic utility function, the MVO method is the optimal decision making rule. To this day, any academic textbook or research paper is referring to the MVO method under only two conditions. Namely, either (i) the investor has quadratic preferences, or (ii) the portfolio returns are Gaussian. Markowitz (2010, 2014) [63], [66] insists that he never made the case that the utility functions have to be quadratic or that the portfolio returns have to be Gaussian. Chapters 2 and 3 of this thesis examine the MVO method with respect to its practicality as well as its connection to the well-known Stochastic Dominance Rules (hereafter; SDRs).Another major notion is the degree of risk aversion of investors. Arrow and Pratt introduced this degree of risk aversion in absolute and relative terms. Namely, the Absolute and Relative Risk Aversion (hereafter; ARA and RRA). The meaning of this notion can be deduced directly by its name. It measures how much the investors "fear" risk. According to Arrow and Pratt, ARA considers the investor's level of risk-aversion with respect to a lottery for different levels of wealth, while RRA considers the investor's level of risk-aversion with respect to a lottery that is a function of the investor's wealth. The literature has put a great deal of effort to determine what is the slope of each coefficient as the level of wealth increases. In total, the majority of the empirical evidence showcases that investors exhibit decreasing ARA (hereafter; DARA). In terms of the RRA the literature has found mixed evidence showing decreasing, constant or increasing RRA (hereafter; DRRA, CRRA and IRRA). Most of the works approached this subject by doing cross-sectional analysis on a set of different portfolio allocations of investors. Another part has used panel data while others used options. In the fourth chapter, we will revisit this subject by introducing a new approach to extract information with respect to the investors' level of ARA and RRA.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379469085Subjects--Topical Terms:

1464660
Sample size.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Modern Portfolio Theory and Decision Making Under Risk.
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504 $a Includes bibliographical references
520 $a In 1990, Harry Markowitz received the Nobel prize for his pioneering work in Modern Portfolio Theory. It was back in 1952 Markowitz [64] when he introduced the Mean Variance Criterion (hereafter; MVC) or as is else called the Mean Variance Optimization (hereafter; MVO) method. The idea was simple but rather intriguing. Under the appropriate assumptions, an investor could diversify his portfolio based only on the first two moments of his portfolio's returns. This perspective was so groundbreaking that led to some sort of skepticism, with the first reaction coming directly from Markowitz's doctoral supervisor, Nobel laureate Professor Milton Friedman. Professor Friedman remarked that although Markowitz's idea was interesting, it was not economics. The reason Friedman made such a statement was because at that point of time (and still to this day) the academic world had adopted the idea that all that an investor wants to do is to maximize his expected utility. This concept, known as the Representation Theorem, had been proven by Von Neumann and Morgenstern (hereafter; VN-M). Thus, any new idea had to be analyzed under this framework. In 1959, Markowitz [65] addressed this criticism by analyzing his idea under the notion of utility. More specifically, Markowitz made the case that for any investor with an approximately quadratic utility function, the MVO method is the optimal decision making rule. To this day, any academic textbook or research paper is referring to the MVO method under only two conditions. Namely, either (i) the investor has quadratic preferences, or (ii) the portfolio returns are Gaussian. Markowitz (2010, 2014) [63], [66] insists that he never made the case that the utility functions have to be quadratic or that the portfolio returns have to be Gaussian. Chapters 2 and 3 of this thesis examine the MVO method with respect to its practicality as well as its connection to the well-known Stochastic Dominance Rules (hereafter; SDRs).Another major notion is the degree of risk aversion of investors. Arrow and Pratt introduced this degree of risk aversion in absolute and relative terms. Namely, the Absolute and Relative Risk Aversion (hereafter; ARA and RRA). The meaning of this notion can be deduced directly by its name. It measures how much the investors "fear" risk. According to Arrow and Pratt, ARA considers the investor's level of risk-aversion with respect to a lottery for different levels of wealth, while RRA considers the investor's level of risk-aversion with respect to a lottery that is a function of the investor's wealth. The literature has put a great deal of effort to determine what is the slope of each coefficient as the level of wealth increases. In total, the majority of the empirical evidence showcases that investors exhibit decreasing ARA (hereafter; DARA). In terms of the RRA the literature has found mixed evidence showing decreasing, constant or increasing RRA (hereafter; DRRA, CRRA and IRRA). Most of the works approached this subject by doing cross-sectional analysis on a set of different portfolio allocations of investors. Another part has used panel data while others used options. In the fourth chapter, we will revisit this subject by introducing a new approach to extract information with respect to the investors' level of ARA and RRA.
520 $a Δύο θεμελιώδη ερωτήματα τα οποία απασχολούν ιδιαίτερα τους οικονομολόγους είναι: (i) ο τρόπος που μία οικονομική μονάδα (λήπτης αποφάσεων ή επενδυτής) λαμβάνει τις αποφάσεις της, και (ii) η ανοχή που έχει η οικονομική μονάδα στον "κίνδυνο" ("ρίσκο"). Το 1944 οι Von Neumann - Morgenstern θεμελίωσαν τη Θεωρία Λήψης Αποφάσεων υπό καθεστώς ρίσκου. Η Θεωρία αυτή μελετά τον τρόπο με τον οποίο μία οικονομική μονάδα επιλέγει μεταξύ διαφορετικών λοταριών (τυχαίων μεταβλητών). Σε αντίθεση με το καθεστώς αβεβαιότητας, σε καθεστώς ρίσκου μία οικονομική μονάδα γνωρίζει τις αντικειμενικές πιθανότητες των λοταριών. Αυτό σημαίνει ότι κάθε οικονομική μονάδα αντιμετωπίζει τις ίδιες πιθανότητες και δεν υπάρχει διαφωνία μεταξύ των οικονομικών μονάδων για το πόσο πιθανό είναι το κάθε ενδεχόμενο μιας λοταρίας. Συνεπώς, η αβεβαιότητα στο πλαίσιο αυτό είναι αντικειμενικά υπολογίσιμη και ως εκ τούτου ονομάζεται "ρίσκο". Η βασική υπόθεση ότι οι αντικειμενικές πιθανότητες των λοταριών είναι γνωστές, οδηγεί στο Θεώρημα Αναπαράστασης των Von Neumann - Morgenstern. Το Θεώρημα αποδεικνύει ότι σε καθεστώς ρίσκου, κάθε ορθολογική οικονομική μονάδα επιθυμεί να μεγιστοποιήσει την αναμενόμενη χρησιμότητά της. Ωστόσο, η αξιοποίηση του Θεωρήματος αυτού, ως έχει, προϋποθέτει την ακριβή γνώση της συνάρτησης χρησιμότητας. Τα διάφορα Κριτήρια Στοχαστικής Κυριαρχίας, όπως ορίζονται στο πλαίσιο του Θεωρήματος Αναπαράστασης, παρακάμπτουν το εμπόδιο αυτό. Αυτό το καταφέρνουν θέτοντας κάθε φορά έναν κανόνα μεταξύ των αθροιστικών κατανομών δύο λοταριών, τον οποίο θα πρέπει να χρησιμοποιεί ένα συγκεκριμένο σύνολο επενδυτών που επιθυμεί να μεγιστοποιήσει την αναμενόμενη χρησιμότητά του. Προϊόν του Θεωρήματος Αναπαράστασης των Von Neumann - Morgenstern αποτελεί και η Σύγχρονη Θεωρία Χαρτοφυλακίου, την οποία θεμελίωσε ο Markowitz το 1952. Το βασικό χαρακτηριστικό της Θεωρίας αυτής είναι ότι κάτω από συγκεκριμένες υποθέσεις, η συνάρτηση χρησιμότητας ενός επενδυτή εξαρτάται αποκλειστικά από τον μέσο και τη διακύμανση μιας λοταρίας. Αυτό σημαίνει ότι το Κριτήριο το οποίο χρησιμοποιεί ένας επενδυτής που αποστρέφεται τον κίνδυνο και παράλληλα επιθυμεί να μεγιστοποιήσει την αναμενόμενη χρησιμότητά του, στηρίζεται αποκλειστικά στις σχέσεις μεταξύ των μέσων και των διακυμάνσεων δύο λοταριών. Εφόσον έχει προσδιοριστεί το κατάλληλο Κριτήριο Επιλογής για έναν λήπτη αποφάσεων, το επόμενο βήμα είναι να μελετηθεί ο βαθμός αποστροφής του στον "κινδυνο". Ως προς αυτό, οι Arrow - Pratt (1964,1965) ορίζουν τα μέτρα του βαθμού απόλυτης και σχετικής αποστροφής κινδύνου ενός επενδυτή. Τα μέτρα αυτά μελετούν στην ουσία το πώς μεταβάλλεται ο βαθμός αποστροφής κινδύνου ενός λήπτη αποφάσεων για διαφορετικά επίπεδα του πλούτου του. Ο σκοπός της παρούσας διδακτορικής διατριβής χωρίζεται σε τρία μέρη. Αρχικά, να εξετάσει και να αξιολογήσει τα διάφορα θεωρητικά και εμπειρικά ευρήματα που προκύπτουν από ήδη υπάρχουσες ερευνητικές εργασίες στα πλάισια της Σύγχρονης Θεωρίας Χαρτοφυλακίου και γενικότερα της Θεωρίας Λήψης Αποφάσεων υπό καθεστώς ρίσκου. Έπειτα, να απαντήσει σε σημαντικά ερωτήματα τα οποία είτε η βιβλιογραφία έχει αγνοήσει, είτε οι απαντήσεις που έχουν δοθεί σε αυτά τίθενται υπό αμφισβήτηση. Και τέλος, να προτείνει ορισμένες νέες μεθόδους οι οποίες συνεισφέρουν στην μελέτη και ερμηνεία της συμπεριφοράς των επενδυτών σε καθεστώς ρίσκου.
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538 $a Mode of access: World Wide Web
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650 4 $a Sample variance. $3 1464661
650 4 $a Normal distribution. $3 1464662
650 4 $a Optimization. $3 669174
650 4 $a Decision making. $3 528319
650 4 $a Inequality. $3 1464663
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650 4 $a Finance. $3 559073
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