J. Vörös

Bio: J. Vörös is an academic researcher. The author has contributed to research in topics: Portfolio optimization & Efficient frontier. The author has an hindex of 2, co-authored 4 publications receiving 8 citations.

A Note on the Kinks at the Mean Variance Frontier

Abstract: In this paper the standard portfolio case with short sales restrictions is analyzed.Dybvig pointed out that if there is a kink at a risky portfolio on the efficient frontier, then the securities in this portfolio have equal expected return and the converse of this statement is false.For the existence of kinks at the efficient frontier the sufficient condition is given here and a new procedure is used to derive the efficient frontier, i.e. the characteristics of the mean variance frontier.

Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method

Abstract: The set of efficient (Rho2)-combinations in the (Rho2)-plane of the Markowitz portfolio selection method consists of a series of strictly convex parabola. In the transition points from one parabola to the next one, the curve may be indifferentiable. The article gives necessary and sufficient conditions for differentiability and compares these conditions with statements on differentiability in the literature. A new proof of the differentiability property is presented using the portfolio selection model with one riskless asset.

Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method

Abstract: The set of efficient (Rho2)-combinations in the (Rho2)-plane of the Markowitz portfolio selection method consists of a series of strictly convex parabola. In the transition points from one parabola to the next one, the curve may be indifferentiable. The article gives necessary and sufficient conditions for differentiability and compares these conditions with statements on differentiability in the literature. A new proof of the differentiability property is presented using the portfolio selection model with one riskless asset.

Parametrically computing efficient frontiers of portfolio selection and reporting and utilizing the piecewise-segment structure

Abstract: Portfolio selection is recognised as the birth-place of modern finance; portfolio optimisation has become a developed tool. However, efficient frontiers are piece-wisely made up by connected parabo...

Anatomy and Lessons of the Global Financial Crisis

Abstract: Emerging countries’ and particularly China's savings in the U.S. money market financed the U.S. overconsumption in the 2000s, which eventually led to the global financial crisis. The real estate mortgage market was the starting point. Non-equilibrium processes have been launched in the U.S. financial markets, which contradicted all previous theories concerning the economic equilibrium. The economic sciences do not have a model or empirically applied theories to this new situation. So the crisis could not be prevented nor predicted. The question is to what extent the existing market theories, the computational methods and the latest financial products may be responsible for the non-equilibrium. The paper examines these questions, namely the influence of the efficient market and modern portfolio theories also the Li copula function on the U.S. investment market. The problematic of moral hazard, greed, credit rating, corporate governance, limited liability and market regulation cannot be ignored neither. In conclusion, the author outlines a possible alternative measure against the outbreak of a new crise, indicates new trends in the research and draws lessons from the Hungarian economic policy.

On analyzing and detecting multiple optima of portfolio optimization

Abstract: Portfolio selection is widely recognized as the birth-place of modern finance; portfolio optimization has become a developed tool for portfolio selection by the endeavor of generations of scholars. Multiple optima are an important aspect of optimization. Unfortunately, there is little research for multiple optima of portfolio optimization. We present examples for the multiple optima, emphasize the risk of overlooking the multiple optima by (ordinary) quadratic programming, and report the software failure by parametric quadratic programming. Moreover, we study multiple optima of multiple-objective portfolio selection and prove the nonexistence of the multiple optima of an extension of the model of Merton. This paper can be a step-stone of studying the multiple optima.

Producing the tangency portfolio as a corner portfolio

Abstract: One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via computing the corner portfolios Moreover, we show that how this method can be used for tracing out the M-V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed