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Overfitting in portfolio optimization
Journal of Risk Model Validation, 2023Matteo Maggiolo, Oleg Szehr
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The specific thesis aims at providing useful information in portfolio management and contributes to the conclusion of the best way to create an efficient portfolio. It consists of two parts, a theoretical and empirical. In the theoretical part, basic information, that an investor should take into consideration, is provided.
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Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case
Management Science, 2022Guofu Zhou, Raymond Kan, Xiaolu Wang
exaly
Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns
Journal of Optimization Theory and Applications, 2023Tomer Shushi, Nicola Loperfido
exaly
A Mean Field Game of Optimal Portfolio Liquidation
Mathematics of Operations Research, 2021Guanxing Fu +2 more
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The optimal solution of ESG portfolio selection models that are based on the average ESG score
Operations Research Letters, 2022Tomer Shushi
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