Examinando por Autor "Luis Chavez-Bedoya"
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Publicación Sólo datos Limiting out-of-sample performance of optimal unconstrained portfolios(2024-07-26) Luis Chavez-Bedoya; John R. BirgeThis paper studies the out-of-sample Sharpe ratio of an unconstrained portfolio that combines the global minimum-variance with a hedge portfolio. Furthermore, we investigate how this ratio behaves as the number of risky assets and observations approaches infinity while maintaining a constant ratio. Under these conditions, it becomes possible to simultaneously account for estimation risk and achieve analytical tractability when optimizing the out-of-sample Sharpe ratio. This analysis also provides valuable insights to enhance out-of-sample performance in the finite case by introducing additional deterministic factors to the portfolio components.Publicación Sólo datos Orthogonal portfolios to assess estimation risk(2022-03-12) Luis Chavez-Bedoya; Francisco RosalesThis document presents the various advantages of using portfolio rules composed by linear combinations of the orthogonal components derived from the optimal solution to a linearly constrained mean–variance portfolio optimization problem. We argue that this practice has value in and of itself since it pushes forward the tractability of the out-of-sample performance measure, and the identification of risk sources in the portfolio. This structure is further used to propose new correction schemes based on shrinkage factors that improve out-of-sample performance, and to study its limiting behavior as both the sample size and the number of assets increase. Additionally, our results are compared with those corresponding to the theoretical and implementable three-fund rules of Kan and Zhou (2007) so the benefits of using orthogonal portfolio rules are highlighted.Publicación Sólo datos Orthogonal portfolios to assess estimation risk(2022-03-12) Luis Chavez-Bedoya; Francisco RosalesPublicación Sólo datos Performance of active portfolio managers when the benchmark is not observable(2024) Luis Chavez-Bedoya"We present a specialized methodology designed for evaluating the performance of active portfolio managers in situations where the common benchmark portfolio cannot be directly observed or determined by the analyzing agent. This method assesses performance by examining the excess alpha of an optimal active fund with respect to a combination of such funds that efficiently minimizes residual risk. After establishing the theoretical underpinnings of this approach and deriving the necessary statistical tests, we then showcase its practical application in assessing the historical performance of pension fund administrators operating within the Peruvian Private Pension System."
