دانلود مقاله ISI انگلیسی شماره 97013
ترجمه فارسی عنوان مقاله

اوراق بهادار بهینه خصوصی در حضور ریسک خودسرانه ریسک

عنوان انگلیسی
Optimal privatization portfolios in the presence of arbitrary risk aversion
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
97013 2018 42 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : European Journal of Operational Research, Volume 265, Issue 3, 16 March 2018, Pages 1172-1191

ترجمه کلمات کلیدی
(ب) امور مالی، نمونه کارها، خصوصی سازی، تسلط تصادفی، سبک سرمایه گذاری،
کلمات کلیدی انگلیسی
(B) Finance; Portfolio; Privatization; Stochastic dominance; Investment style;
پیش نمایش مقاله
پیش نمایش مقاله  اوراق بهادار بهینه خصوصی در حضور ریسک خودسرانه ریسک

چکیده انگلیسی

We consider the global portfolio of privatized state assets from 1985 to 2012 in the non-parametric decision-making context of Stochastic Dominance Efficiency for broad classes of investor preferences. We estimate all possible portfolios in the context of Strategic vs. non-Strategic and Cyclical vs. non-Cyclical asset allocations that dominate the market benchmark and provide a complete efficiency ranking. The optimal solutions are computed using linear and mixed integer programming formulations. Dominant portfolios tend to overweight non-Cyclical and non-Strategic assets, while rotation may take place across business cycles. Bayesian investment style return attribution analysis, based on Monte Carlo Integration, suggests that Growth drives returns during the first business cycle, rotating to a balanced mix of styles with Size and Debt Leverage during the second business cycle and finally to Size during the last business cycle. Value is found to be the least influential style in all periods.