Technical paper/Portfolio optimisation
Insights into robust optimization: decomposing into mean–variance and risk-based portfolios
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.
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Stable linear-time optimisation in arbitrage pricing theory models
Gordon Ritter proposes a stable mean-variance optimisation for APT models
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany.
Reconciling factor optimization with portfolio constraints
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
Suboptimality in portfolio conditional value-at-risk optimization
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
A robust set-valued scenario approach for handling modeling risk in portfolio optimization
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
Modeling a risk-based criterion for a portfolio with options
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing…