As the dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the...

We develop in this paper a novel portfolio selection framework with a feature of dual robustness in both return distribution modeling and portfolio optimization. While predicting the return distributions of the future market always represents the most compelling challenge in investment, any...

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literature in the past half century adhere their investigation to a binding budget spending assumption on this classical investment issue. In the mean-variance world for a market of all risky...

An investor does not always invest in risky assets in all time periods, often due to the management fee charged for hiring an agent in managing his investment in risky assets. Motivated by this observed common phenomenon, this paper considers the time cardinality constrained mean-variance...

The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal...

Hidden orders are offered by many lit trading venues for participants to hide the true size of their orders. To help a risk-neutral trader executing a target volume to minimize the execution cost by benefitting from the setting of a limit order market allowing hidden orders, we propose a...

Since options in a portfolio can offset one another partially in terms of the market risk, the margin calculation for option portfolios is complicated due to its combinatorial nature. We consider in this technical note margining balanced option portfolios, in which the number of long positions...

The current literature on behavioral portfolio optimization with reference point updating assumes that the decision maker foresees how the reference point will evolve and thus solves a time-consistent problem formulation. Empirical findings on the other hand suggest that decision makers often...

We investigate reference point formation in a social network of multiple investors and study its impact on wealth growth and inequality under a framework of Prospect Theory. The reference point of each individual investor contains both personal and social components. Whereas the personal...