portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk …

altering the portfolio in response to changes in macroeconomic indicators. Therefore, this study examines the existence of …

In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their … relative riskiness of local versus foreign collateral. The resulting portfolio solution shows that, in equilibrium, investors …

This paper analyzes the safety-first portfolio model under two different target assumptions, the fixed target, which is … comparing optimal expected portfolio returns of the fixed and the random target strategy. Assuming multivariate normal returns … the answer is: (1) The random target strategy outperforms the fixed target strategy if the portfolio return and the random …