Journal of Investment Strategies

Welcome to the December issue of The Journal of Investment Strategies.

In this issue we have three original research papers, looking at optimal investment problems, investment strategies and optimization framework.

In our first paper, “The optimal investment problem in stochastic and local volatility models” by Vladimir V. Piterbarg., the author, and member of the editorial board, considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models.

The second paper, “Winning investment strategies based on financial crisis indicators” by Antoine Kornprobst aims to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.

Finally, “Extending risk budgeting for market regimes and quantile factor models” authored by Emlyn Flint and Simon du Plooy combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.

We hope that you enjoy these papers and find them interesting and engaging.

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