投资组合管理

It is a challenge to estimate fund performance by compounded returns. Arguably, it is incorrect to use yearly returns directly for compounding, with reported annualized return of above 60% for Medallion for the 31 years up to 2018. We…

Markowitz's criterion aims to balance expected return and risk when optimizing the portfolio. The expected return level is usually fixed according to the risk appetite of an investor, then the risk is minimized at this fixed return level.…

Corporate Greenhouse Gas (GHG) emission targets are important metrics in sustainable investing [12, 16]. To provide a comprehensive view of company emission objectives, we propose an approach to source these metrics from company public…

The gas fee, paid for inclusion in the blockchain, is analyzed in two parts. First, we consider how effort in terms of resources required to process and store a transaction turns into a gas limit, which, through a fee, comprised of the base…

We propose a new way of building portfolios of cryptocurrencies that provide good diversification properties to investors. First, we seek to filter these digital assets by creating some clusters based on their path signature. The goal is to…

This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brownian motion with zero drift driven by some unhedgeable risk.…

This paper investigates the optimal consumption, investment, and life insurance/annuity decisions for a family in an inflationary economy under money illusion. The family can invest in a financial market that consists of nominal bonds,…

This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…

We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbolic discount function leads to time-inconsistency and we…

Mutual funds aim to generate returns above market averages. While predicting their future portfolio allocations can bring economic advantages, the task remains challenging and largely unexplored. To fill that gap, this work frames mutual…

Stock return forecasting is a major component of numerous finance applications. Predicted stock returns can be incorporated into portfolio trading algorithms to make informed buy or sell decisions which can optimize returns. In such…

This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe comprising seven long-only indices representing the market and…

For $n$ assets and discrete-time rebalancing, the probability to complete a given schedule of investments and withdrawals is maximized over progressively measurable portfolio weight functions. Applications consider two assets, namely the…

This paper explores the practical approach to portfolio selection methods for investments. The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also…

Introduction: As digital health evolves, identifying factors that drive success is crucial. This study examines how reimbursement billing codes affect the long-term financial performance of digital health companies on U.S. stock markets,…

This paper introduces a novel approach to optimizing portfolio rebalancing by integrating Graph Neural Networks (GNNs) for predicting transaction costs and Dijkstra's algorithm for identifying cost-efficient rebalancing paths. Using…

This paper proposes a robust, shocks-adaptive portfolio in a large-dimensional assets universe where the number of assets could be comparable to or even larger than the sample size. It is well documented that portfolios based on…

We extract the sentiment from german and english news articles on companies in the DAX40 stock market index and use it to create a sentiment-powered pendant. Comparing it to existing products which adjust their weights at pre-defined dates…

Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…

This paper presents a novel approach to evaluating blue-chip art as a viable asset class for portfolio diversification. We present the Arte-Blue Chip Index, an index that tracks 100 top-performing artists based on 81,891 public transactions…