Technical paper/Portfolio optimisation
The consequences of the Basel III requirements for the liquidity horizon and their implications for optimal trading strategy
The authors put forward a formula-based approach for determining the optimal liquidity horizon used in scaling the base expected shortfall under Basel III.
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Expectile risk quadrangles and applications
The authors study the expectile risk measure within the fundamental risk quadrangle framework, constructing a new quadrangle where the expectile is both a statistic and a risk measure.
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.
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.
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.
Correlation diversified passive portfolio strategy based on permutation of assets
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…
The standard market risk model of the Swiss solvency test: an analytic solution
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.
Factor investing: get your exposures right!
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…
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
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.
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.