For a market with m assets and T discrete trading sessions, Cover and Ordentlich (1998) found that the “Cost of Achieving the Best Rebalancing Rule in Hindsight” is p(T, m) = _{n₁ ···^Σ n_m=T} (n₁,^T...,n_m)(n₁/T)(n₁ · · · (n_m/T)^n_m. Their super-replicating strategy is impossible to compute...

We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be controlled by actions of the investor. Using the classical...

The problem of selecting an optimal set of investment stocks is of a huge interest for both individual and institutional investors. This paper compares the hybrid multiple criteria decision making (MCDM) approach to selecting the best stock to invest in, with the stock selection using modern...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

This paper presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On the one hand, investing in high-momentum stocks stabilizes portfolio performance across economic regimes and enhances risk-adjusted returns....

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

Although the link between risk aversion and diminishing marginal utility of wealth is academically well established, theoretical discussions concerning its empirical validity remain. The presented, review-type paper aims to briefly examine theoretical roots responsible for the different views on...