Technical paper/Mean variance
The impact of greenhouse gas aversion on optimal portfolios
The author applies greenhouse gas aversion to the mean-variance portfolio framework and proposes a new portfolio performance measure for greenhouse-gas-averse investors.
Strangle to resuscitate: evidence from India
This study examines the performance of two strangle strategies at different legs to find the best strategy for consistent profit generation when trading on the Indian stock market index Nifty.
Equally diversified or equally weighted?
New diversification measure enables construction of equally diversified portfolios
A regime-switching factor model for mean–variance optimization
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
Variance optimal hedging with application to electricity markets
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
Beyond Markowitz with quantum annealing
Venturelli and Kondratyev use quantum annealers to optimise portfolios
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
The Kelly criterion in portfolio optimization: a decoupled problem
This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
Cumulative prospect theory and mean–variance analysis: a rigorous comparison
This paper proposes a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).
Beat equal weighting: a strategy for portfolio optimisation
Yong (Jimmy) Jin and Lie Wang propose an estimation method for optimal portfolio weights under parameter uncertainty
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility
The paper deals with robust and accurate numerical solution methods for the nonlinear Hamilton–Jacobi–Bellman partial differential equation (PDE), which describes the dynamic optimal portfolio selection problem.
The Bayesian roots of risk balancing
Risk balancing has been considered a heuristic asset allocation method. In this paper, the authors show that, on the contrary, risk balancing is a special case of a utility optimization problem with log regularization that constrains risk concentration.
