Technical paper/Portfolio optimisation
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Overfitting in portfolio optimization
The authors measure the performance of sample-based rolling-window neural network (NN) portfolio optimization strategies and demonstrate that correctly set up NN-based strategies can outperform the 1/N strategy.
Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
This paper explores the Sherman ratio and find that it has merit in the optimization of portfolio construction.
On capital allocation under information constraints
This paper offers a portfolio optimization framework that uses return data to calculate an optimal capital allocation based on a Cobb–Douglas utility function.
Asset allocation with inverse reinforcement learning
Using reinforcement learning to help replicate asset managers' allocation strategy
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Correlation diversified passive portfolio strategy based on permutation of assets
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…
The standard market risk model of the Swiss solvency test: an analytic solution
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
In this paper, the authors propose a novel investment strategy for portfolio optimization problems.
Portfolio optimization for American options
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
Value-ranked equity portfolios via entropy pooling
This paper demonstrates how to directly incorporate common value-investing idea into the portfolio optimization process.
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
The Kelly criterion in portfolio optimization: a decoupled problem
This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
Efficient trading in taxable portfolios
This paper determines life-cycle trading strategies for portfolios subject to the US tax system.
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.