A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
There is a lot to learn before quantum computers can be applied to specific financial problems
Venturelli and Kondratyev use quantum annealers to optimise portfolios
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Gordon Ritter proposes a stable mean-variance optimisation for APT models
Andrei Soklakov shows how to incorporate traditional investment ideas and clients’ views into structured product design
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis