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.
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization 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.
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
Risk Awards 2017: Physicist takes on classic models with data and empirical research
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle
Gordon Ritter proposes a stable mean-variance optimisation for APT models