Machine learning shows promise in grouping assets better, predicting regime shifts
Matthew Beddall’s Havelock restyles value investing for the big data age
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.
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…
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
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
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
In this paper, the authors propose a novel investment strategy for portfolio optimization problems.
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
This paper demonstrates how to directly incorporate common value-investing idea into the portfolio optimization process.
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
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.
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Bank is exploring quicker ways to solve portfolio optimisation
This paper determines life-cycle trading strategies for portfolios subject to the US tax system.
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
This paper proposes a generalized risk budgeting approach to portfolio construction.
Quants propose technique to include stress testing in portfolio allocation
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Gordon Ritter proposes a stable mean-variance optimisation for APT models