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Bitcoin and Portfolio Diversification: Portfolio Optimization Approach [PDF]
SSRN Electronic Journal, 2020 This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing allocations to each asset class (asset allocation). The performance
Walid Bakry +3 more
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Regularizing portfolio optimization [PDF]
New Journal of Physics, 2010 The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk.
Susanne Still, Imre Kondor
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Functional Portfolio Optimization in Stochastic Portfolio Theory
SIAM Journal on Financial Mathematics, 2022 In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized by an exponentially concave function on the unit interval. This choice can be motivated by the long term stability
Steven Campbell, Ting-Kam Leonard Wong
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Optimal characteristic portfolios
Quantitative Finance, 2020 Characteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies and construct asset pricing models. We propose a new method for their estimation that is simple to compute, makes no ex-ante assumption on the nature of the relationship between the characteristic and returns, and does not require ad ...
Richard J. McGee, Jose Olmo
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Robust Optimization of Credit Portfolios [PDF]
Mathematics of Operations Research, 2017 We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penalized.
Lijun Bo, Agostino Capponi
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ASTIN Bulletin, 2000 AbstractBased on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company.We first analyse the underwriting risk of the company. The maximization of the risk return ratio of the
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Portfolio optimization for sustainable investments
SSRN Electronic Journal, 2021 AbstractIn mean-variance portfolio optimization, multi-index models often accelerate computation, reduce input requirements, facilitate understanding, and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation in many situations.
Armin Varmaz +2 more
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Feature Selection for Portfolio Optimization [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Trier Bjerring +2 more
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Algorithm portfolios for noisy optimization [PDF]
Annals of Mathematics and Artificial Intelligence, 2015 in Annals of Mathematics and Artificial Intelligence, Springer Verlag ...
Marie-Liesse Cauwet +3 more
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Foster–Hart optimal portfolios [PDF]
Journal of Banking & Finance, 2016 We reinvestigate the classic portfolio optimization problem where the notion of portfolio risk is captured by the “Foster-Hart risk” — a new, bankruptcy-proof, reserve based measure of risk, extremely sensitive to left tail events (Foster and Hart, 2009).
Anand, Abhinav +3 more
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