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ASYMPTOTICALLY OPTIMAL PORTFOLIOS
Mathematical Finance, 1992This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy‐and‐hold portfolios exponentially over the long run.
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Drawdown Measure in Portfolio Optimization [PDF]
SSRN Electronic Journal, 2003 A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of ...
ALEXEI CHEKHLOV +2 more
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, 2020
Purpose This study aims to examine the theoretical foundations for multivariate portfolio optimization algorithms under illiquid market conditions. In this study, special emphasis is devoted to the application of a risk-engine, which is based on the ...
M. A. Janabi
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Purpose This study aims to examine the theoretical foundations for multivariate portfolio optimization algorithms under illiquid market conditions. In this study, special emphasis is devoted to the application of a risk-engine, which is based on the ...
M. A. Janabi
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Reweighted Price Relative Tracking System for Automatic Portfolio Optimization
IEEE Transactions on Systems, Man, and Cybernetics: Systems, 2020In this paper, we propose a novel reweighted price relative tracking (RPRT) system for automatic portfolio optimization (APO). In the price prediction stage, it automatically assigns separate weights to the price relative predictions according to each ...
Zhao-Rong Lai +3 more
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An enhanced distributed differential evolution algorithm for portfolio optimization problems
Engineering applications of artificial intelligence, 2023Yingjie Song +5 more
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A brief review of portfolio optimization techniques
Artificial Intelligence Review, 2022Abhishek Gunjan, S. Bhattacharyya
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The Journal of Risk Finance, 2016
Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow
Theo Berger, Christian Fieberg
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Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow
Theo Berger, Christian Fieberg
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Quantum beetle antennae search: a novel technique for the constrained portfolio optimization problem
Science China Information Sciences, 2021A. Khan +4 more
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Overfitting in portfolio optimization
Journal of Risk Model Validation, 2023Matteo Maggiolo, Oleg Szehr
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