Similar Search Results

Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment … allocation which contributes the investment decision-making. However, the current research focused solely on publicly available … volatility that, in consequence, pertains to knowledgeable attributing of investment portfolio proportions of either individual …

Persistent link: https://www.econbiz.de/10013166371

Sparse Parametric Portfolio Selection

Croessmann, Roman - 2018

This article shows how sparse solutions can be generated in parametric portfolio selection methods. Sparse mean-variance optimization procedures can be applied after the translation of parametric weight estimates into implied mean return estimates. The results of our empirical analysis suggest...

Persistent link: https://www.econbiz.de/10012915299

Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics

Arvanitis, Stelios - 2025

The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

Persistent link: https://www.econbiz.de/10015194229

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018

determines whether introducing new securities or relaxing investment constraints improves the investment opportunity set of …

Persistent link: https://www.econbiz.de/10011877232

Deep parametric portfolio policies

Simon, Frederik; Weibels, Sebastian; Zimmermann, Tom - 2023 - This version: February 2025

We consider parametric portfolio policies of any complexity using deep neural networks to optimize investor utility. Risk aversion acts as an economic regularization mechanism, with higher risk aversion constraining model complexity. Empirically, Deep Parametric Portfolio Policies (DPPP)...

Persistent link: https://www.econbiz.de/10015329382

Enhanced Portfolio Optimization

Pedersen, Lasse Heje - 2020

Portfolio optimization should provide large benefits to investors, but standard mean-variance optimization (MVO) works so poorly in practice that optimization is often abandoned. The approaches developed to address this issue are often surrounded by mystique regarding how, why, and whether they...

Persistent link: https://www.econbiz.de/10012842510

Deep Parametric Portfolio Policies

Simon, Frederik; Weibels, Sebastian; Zimmermann, Tom - 2022

We generalize the parametric portfolio policy framework to learning portfolio weights via deep neural networks. We find that network-based portfolio policies result in an increase of investor utility of between 30 and 100 percent over a comparable linear portfolio policy, depending on whether...

Persistent link: https://www.econbiz.de/10013404767

Portfolio Optimization under Solvency Constraints : A Dynamical Approach

Asanga, Sujith - 2014

We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...

Persistent link: https://www.econbiz.de/10013064459

Synthetic Floating Crude Oil Storage and Optimal Statistical Arbitrage : A Model Specification Analysis

Bucca, Andrea; Cummins, Mark - 2012

The informational fl ow between oil and spot freight markets is examined in a novel way via the time charter equivalent (TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage positions are constructed, which are shown to be...

Persistent link: https://www.econbiz.de/10014177324

Factor-targeted Asset Allocation : a Reverse Optimization Approach

Lee, Jacky S.H; Salerno, Marco - 2021

When assets' expected returns follow a factor structure subject to pricing errors, we show that the mean-variance portfolio can be used to obtain a set of implied factor risk premia. Contrary to the instability of the mean-variance asset portfolio, we show that such implied factor risk premia...

Persistent link: https://www.econbiz.de/10014087598