英文标题：
《On Capital Allocation under Information Constraints》
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作者：
Christoph J. B\\\"orner, Ingo Hoffmann, Fabian Poetter, Tim Schmitz
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最新提交年份：
2020
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英文摘要：
Attempts to allocate capital across a selection of different investments are often hampered by the fact that investors\' decisions are made under limited information (no historical return data) and during an extremely limited timeframe. Nevertheless, in some cases, rational investors with a certain level of experience are able to ordinally rank investment alternatives through relative assessments of the probabilities that investments will be successful. However, to apply traditional portfolio optimization models, analysts must use historical (or simulated/expected) return data as the basis for their calculations. This paper develops an alternative portfolio optimization framework that is able to handle this kind of information (given by an ordinal ranking of investment alternatives) and to calculate an optimal capital allocation based on a Cobb-Douglas function, which we call the Sorted Weighted Portfolio (SWP). Considering risk-neutral investors, we show that the results of this portfolio optimization model usually outperform the output generated by the (intuitive) Equally Weighted Portfolio (EWP) of different investment alternatives, which is the result of optimization when one is unable to incorporate additional data (the ordinal ranking of the alternatives). To further extend this work, we show that our model can also address risk-averse investors to capture correlation effects.
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中文摘要：
投资者的决策是在有限的信息（没有历史回报数据）和极其有限的时间范围内做出的，这一事实往往阻碍了在不同投资中分配资本的尝试。然而，在某些情况下，具有一定经验的理性投资者能够通过对投资成功概率的相对评估，对投资方案进行排序。然而，要应用传统的投资组合优化模型，分析师必须使用历史（或模拟/预期）回报数据作为计算的基矗本文开发了一个备选投资组合优化框架，该框架能够处理此类信息（由投资备选方案的顺序排序给出），并基于Cobb-Douglas函数计算最优资本配置，我们称之为排序加权投资组合（SWP）。考虑到风险中性投资者，我们表明，该投资组合优化模型的结果通常优于不同投资方案的（直观的）等权投资组合（EWP）产生的结果，这是当无法纳入额外数据（方案的顺序排序）时优化的结果。为了进一步扩展这项工作，我们证明了我们的模型还可以解决风险厌恶投资者的问题，以捕捉相关效应。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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