Related papers: Financially Guided Deep Portfolio Optimization
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via…
Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR based optimization objectives and their gradients from limited…
Portfolio optimization requires dynamic allocation of funds by balancing the risk and return tradeoff under dynamic market conditions. With the recent advancements in AI, Deep Reinforcement Learning (DRL) has gained prominence in providing…
This study proposes a novel portfolio optimization framework that integrates statistical social network analysis with time series forecasting and risk management. Using daily stock data from the S&P 500 (2020-2024), we construct dependency…
In this review, we provide practical guidance on some of the main machine learning tools used in portfolio weight formation. This is not an exhaustive list, but a fraction of the ones used and have some statistical analysis behind it. All…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
We document a high-performing cross-sectional equity factor that achieves out-of-sample Sharpe ratios above 13 through regime-conditional signal activation. The strategy combines value and short-term reversal signals only during…
We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather…
As the number of publicly traded companies as well as the amount of their financial data grows rapidly, it is highly desired to have tracking, analysis, and eventually stock selections automated. There have been few works focusing on…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this…
Trend-following strategies underpin many systematic trading approaches yet struggle under nonstationary and nonlinear market regimes. We propose an LSTM-based framework to forecast next-day trend differences ($\Delta_t$) for the top 30 S\&P…
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived…
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio…
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performance of a specific market index. This review paper provides a…
Portfolio optimization in non-stationary markets is challenging due to regime shifts, dynamic correlations, and the limited interpretability of deep reinforcement learning (DRL) policies. We propose a Segmented Allocation with…
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize expected tail loss and investigate both asset allocation (AA) and the selection effect (SE)…
This article is focused on using a new measurement of risk-- Weighted Value at Risk to develop a new method of constructing initiate from the TVAR solving problem, based on MATLAB software, using the historical simulation method (avoiding…
We introduce a novel approach to portfolio optimization that leverages hierarchical graph structures and the Schur complement method to systematically reduce computational complexity while preserving full covariance information. Inspired by…