Some Inspired Non-Parametric Portfolio Approaches of James R. Thompson

• Activity Number: 115 - Papers in Honor of Professor James R Thompson (1938-2017)
• Type: Topic Contributed
• Date/Time: Monday, July 30, 2018 : 8:30 AM to 10:20 AM
• Sponsor: Section on Nonparametric Statistics
• Author(s): John Dobelman*
• Companies: Rice University
• Keywords: James R. Thompson; Portfolio selection; MaxMedian; power means; non-parametric statistics; simulation

Abstract

Security returns are an example of phenomena whose distributions defy parametric modeling. Jim Thompson used a variety of non-parametric approaches to develop workable investing solutions in such an environment. We review his ground breaking exploration of the veracity of the capital asset pricing model (CAPM), and several non-parametric approaches to portfolio formulation including the Simugram(TM), variants of his Max-Median rule, and Tukey weightings.