Results 31 to 40 of about 139 (68)
A Portfolio's Common Causal Conditional Risk-neutral PDE
Portfolio's optimal drivers for diversification are common causes of the constituents' correlations. A closed-form formula for the conditional probability of the portfolio given its optimal common drivers is presented, with each pair constituent-common ...
Dominguez, Alejandro Rodriguez
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Portfolio optimisation with options
, 2021 We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure.
Chan, Jonathan Raimana +3 more
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In this paper we study optimal trading strategies in a financial market in which stock returns depend on a hidden Gaussian mean reverting drift process. Investors obtain information on that drift by observing stock returns.
Gabih, Abdelali +2 more
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Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
, 2023 This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure.
Escobar-Anel, Marcos, Jiao, Yiyao
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Risk management in multi-objective portfolio optimization under uncertainty
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models.
Becker, Yannick +2 more
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Large Language Models in Finance: A Survey
, 2023 Recent advances in large language models (LLMs) have opened new possibilities for artificial intelligence applications in finance. In this paper, we provide a practical survey focused on two key aspects of utilizing LLMs for financial tasks: existing ...
Chen, Hang +3 more
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Fuzzy neural network with backpropagation for fuzzy quadratic programming problems and portfolio optimization problems [PDF]
The study aspires to adopt back propagation fuzzy neural networks to solve fuzzy quadratic programming problems. The main motivation behind proposing a back propagation neural network is that it can easily adjust and fine-tune the weights of the network ...
Khan, Izaz Ullah +3 more
core +1 more source
Portfolio Management using Deep Reinforcement Learning
Algorithmic trading or Financial robots have been conquering the stock markets with their ability to fathom complex statistical trading strategies. But with the recent development of deep learning technologies, these strategies are becoming impotent. The
Muskawar, Vishnureddy Prashant +2 more
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Investment strategies based on forecasts are (almost) useless
Several studies on portfolio construction reveal that sensible strategies essentially yield the same results as their nonsensical inverted counterparts; moreover, random portfolios managed by Malkiel's dart-throwing monkey would outperform the cap ...
Weba, Michael
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Developing An Attention-Based Ensemble Learning Framework for Financial Portfolio Optimisation
In recent years, deep or reinforcement learning approaches have been applied to optimise investment portfolios through learning the spatial and temporal information under the dynamic financial market.
Li, Zhenglong, Tam, Vincent
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