Results 21 to 30 of about 139 (68)
Sector Rotation by Factor Model and Fundamental Analysis
, 2023 This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.
Shi, Beining, Yang, Runjia
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Topological Portfolio Selection and Optimization
, 2023 Modern portfolio optimization is centered around creating a low-risk portfolio with extensive asset diversification. Following the seminal work of Markowitz, optimal asset allocation can be computed using a constrained optimization model based on ...
Aste, Tomaso +2 more
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Planning for the Efficient Updating of Mutual Fund Portfolios
, 2023 Once there is a decision of rebalancing or updating a portfolio of funds, the process of changing the current portfolio to the target one, involves a set of transactions that are susceptible of being optimized. This is particularly relevant when managers
de la Rosa, Tomás
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The impact of big winners on passive and active equity investment strategies
, 2023 We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques.
Markov, Maxime, Markov, Vladimir
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Portfolio Optimization with Relative Tail Risk
, 2023 This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio optimization ...
Kim, Young Shin
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Learning to Learn Financial Networks for Optimising Momentum Strategies
, 2023 Network momentum provides a novel type of risk premium, which exploits the interconnections among assets in a financial network to predict future returns.
Dong, Xiaowen +3 more
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Multi-Industry Simplex : A Probabilistic Extension of GICS
, 2023 Accurate industry classification is a critical tool for many asset management applications. While the current industry gold-standard GICS (Global Industry Classification Standard) has proven to be reliable and robust in many settings, it has limitations ...
Farrell, Thomas +6 more
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, 2023 Sparse index tracking is one of the prominent passive portfolio management strategies that construct a sparse portfolio to track a financial index. A sparse portfolio is desirable over a full portfolio in terms of transaction cost reduction and avoiding ...
Ono, Shunsuke, Yamagata, Eisuke
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f-Betas and Portfolio Optimization with f-Divergence induced Risk Measures
, 2023 In this paper, we build on using the class of f-divergence induced coherent risk measures for portfolio optimization and derive its necessary optimality conditions formulated in CAPM format.
Ding, Rui
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Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
, 2023 This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-period Markowitz strategy.But these methods cannot integrate transaction ...
Cousin, Areski +2 more
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