A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection [PDF]
, 2021 This work proposes a novel portfolio management technique, the Meta Portfolio Method (MPM), inspired by the successes of meta approaches in the field of bioinformatics and elsewhere.
Gorse, Denise, Kisiel, Damian
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Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach [PDF]
, 2014 This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete ...
Frey, Rüdiger +2 more
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Notes on Alpha Stream Optimization [PDF]
, 2015 In these notes we discuss investment allocation to multiple alpha streams traded on the same execution platform, including when trades are crossed internally resulting in turnover reduction.
Kakushadze, Zura
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Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms [PDF]
, 2012 We introduce an extension to Merton’s famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the income to ...
A.A. Pinto +4 more
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THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS [PDF]
, 2017 © 2014 Wiley Periodicals, Inc. We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward
Kardaras, C, Obłój, J, Platen, E
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Diversity and Sparsity: A New Perspective on Index Tracking [PDF]
, 2020 We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance problem.
Hospedales, Timothy M. +2 more
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Correlation matrix clustering for statistical arbitrage portfolios [PDF]
, 2023 We propose a framework to construct statistical arbitrage portfolios with graph clustering algorithms. First, we use various clustering methods to partition the correlation matrix of market residual returns of stocks into clusters. Next, we construct and
Cartea, Alvaro +2 more
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A Framework for Treating Model Uncertainty in the Asset Liability Management Problem
, 2023 The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies.
Papayiannis, Georgios I.
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, 2023 On-chain data (metrics) of blockchain networks, akin to company fundamentals, provide crucial and comprehensive insights into the networks. Despite their informative nature, on-chain data have not been utilized in reinforcement learning (RL)-based ...
Huang, Zhenhan, Tanaka, Fumihide
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The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model [PDF]
, 2014 A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given ...
Framstad, Nils Chr.
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