Zero covariation returns  

作　　者：Dilip B.Madan Wim Schoutens 

机构地区：[1]Robert H.Smith School of Business,University of Maryland,College Park 20742,MD,USA [2]Department of Mathematics,K.U.Leuven,Leuven,Belgium

出　　处：《Probability, Uncertainty and Quantitative Risk》2018年第1期146-174,共29页概率、不确定性与定量风险（英文）

摘　　要：Asset returns are modeled by locally bilateral gamma processes with zero covariations.Covariances are then observed to be consequences of randomness in variations.Support vector machine regressions on prices are employed to model the implied randomness.The contributions of support vector machine regressions are evaluated using reductions in the economic cost of exposure to prediction residu-als.Both local and global mean reversion and momentum are represented by drift dependence on price levels.Optimal portfolios maximize conservative portfolio val-ues calculated as distorted expectations of portfolio returns observed on simulated path spaces.They are also shown to outperform classical alternatives.

关 键 词：Bilateral gammaprocess Minmaxvardistortion Conic portfolio theory Distorted expectation 

分 类 号：F42[经济管理—产业经济]