Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...

This paper presents a framework for portfolio optimization that makes three departures from the traditional mean-variance approach. First, we optimize the portfolio over multiple horizons, reflecting the belief that long-term investors care about intertemporal gains and losses, as well as...

The risk parity optimization problem produces portfolios where each asset contributes an equal amount to the overall portfolio risk. While most work has investigated the problem using all assets, minimal work has investigated the cardinality constrained variant, which reduces the associated...

In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which...

Compared with extensive empirical literature on contrarian strategy, we build a dynamic mean-variance model with geometric mean reversion stock price which implies a contrarian strategy. Our model suggests that the investor should buy distressed stocks, and sell them after the company recovers....

This work presents five convex reformulations of portfolio kurtosis that allows us to pose kurtosis as a parametric convex risk measure. These new reformulations are based on new formulas for estimation of portfolio moments and co-moments matrices, second order cone and semidefinite programming....

We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...