Portfolio optimisation
The future of portfolio execution
The changing needs of institutional investors and intermediaries, and why clients are seeking a more tailored approach to portfolio execution
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Formulations to select assets for constructing sparse index tracking portfolios
The authors put forward methods to chose assets for sparse index tracking portfolios and demonstrate the tracking performance with numerical examples.
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming
This papers investigates problems in pricing and optimizing sidecar and collateralized reinsurance portfolios, employing a stochastic programming approach to solve these problems.
The evolution of portfolio strategies: Special report 2024
This report explores the dynamic evolution of portfolio management and investment strategies, addressing challenges, technological advancements and ongoing innovations
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic
Following the Covid-19 pandemic, the authors use the time-varying parameter vector autoregression approach to to explore the connectedness between cryptocurrencies and international energy markets from 2018 to 2021.
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Overfitting in portfolio optimization
The authors measure the performance of sample-based rolling-window neural network (NN) portfolio optimization strategies and demonstrate that correctly set up NN-based strategies can outperform the 1/N strategy.
Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
This paper explores the Sherman ratio and find that it has merit in the optimization of portfolio construction.
On capital allocation under information constraints
This paper offers a portfolio optimization framework that uses return data to calculate an optimal capital allocation based on a Cobb–Douglas utility function.
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Asset allocation with inverse reinforcement learning
Using reinforcement learning to help replicate asset managers' allocation strategy
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
Rising star in quant finance: Silvana Pesenti
Risk Awards 2022: New approach allows portfolios to be optimised and aligned with benchmarks
Adia wealth fund is building supergroup of quant investing
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites