Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

This work presents a higher moment portfolio optimization model based on L-moments and the ordered weighted average (OWA) portfolio optimization model. In the first part, we are going to show how to model the higher L-moment portfolio problem as a utility function. In the second part, we are...

Since the publication of “Portfolio selection” by H. M. Markowitz in the Journal of Finance in 1952, investment portfolios have been optimized using assumptions on utility and risk trade-offs. We prove that when regular intra-period portfolio rebalancing strategies are applied, the...

Portfolio and index construction efforts are most often focused on holding many instruments and controlling single asset concentration, leaving investors with a false sense of security that these portfolios are well diversified. But having one’s proverbial eggs in different baskets is not the...

We propose a reinforcement learning (RL) approach to solve the continuous-time mean-variance portfolio selection problem in a regime-switching market, where the market regime is unobservable. To encourage exploration for learning, we formulate an exploratory stochastic control problem with an...

In this article, the authors propose an order flow simulator for meta orders such as those originating from the trading activity of buy-side firms. The simulator is designed with three key goals in mind. First, it should be simple to use and integrate into different applications. Second, it must...

This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the...

The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the expected losses and expected excess returns over the...

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...