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John Dobelman

Rice University



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115 – Papers in Honor of Professor James R Thompson (1938-2017)

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

Sponsor: Section on Nonparametric Statistics
Keywords: James R. Thompson, Portfolio selection, MaxMedian, power means, non-parametric statistics, simulation

John Dobelman

Rice University

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.

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