This paper presents fast algorithms for calculating mean-variance efficient frontiers when the investor can sell securities short as well as buy long, and when a factor and/or scenario model of covariance is assumed. Currently, fast algorithms for factor, scenario, or mixed factor and scenario...

This article investigates the effects of small proportional transaction costs on lifetime consumption and portfolio decisions. The extant literature has focused on agents with additive utility; here, we argue that this is essentially without loss of generality at the leading order for small...

I jointly treat two critical issues in the application of mean-variance portfolios, i.e., estimation risk and portfolio instability. I find that theory-based portfolio strategies known to outperform naive diversification (1/N) in the absence of transaction costs, heavily underperform it under...

In this paper, the authors describe a simple procedure for blending statistical estimates with expert opinions to produce a forward-looking view of the performance of assets. They discuss the impact of behavioural biases on the views and propose general modelling principles to biases. Standard...

In this paper, we present an analysis of the effectiveness of various portfolio optimization strategies applied to the stocks included in the Spanish Ibex 35 index, for a period of 14 years -- from 2001 until 2014. The period under study includes episodes of volatility and instability in...

Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they will not change. In practice, new static glidepaths may...

We employ two reward and risk measures, the Upper Partial Moment and the Lower Partial Moment, in order to maximize different value functions under the budget and the short-selling constraints. We find that agents seem to prefer small capitalization and high value stock portfolios (which are...

In this article, we consider a new framework to understand risk-based portfolios (GMV, EW, ERC and MDP). This framework is similar to the constrained minimum variance model of Jurczenko et al. (2013), but with another definition of the diversification constraint. The corresponding optimization...

This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact. Although the execution timing is uncertain, the market maker...