:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Guan, Guohui, Huang, Qitao, Liang, Zongxia, Yuan, Fengyi
Format:	Preprint
Published:	2020
Subjects:	Mathematical Finance Portfolio Management
Online Access:	https://arxiv.org/abs/2011.10166
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)

Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)

Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
by: Shi, Xiaomin, et al.
Published: (2024)

Consumption-portfolio choice with preferences for liquid assets
by: Guan, Guohui, et al.
Published: (2025)

N-player and mean field games among fund managers considering excess logarithmic returns
by: Guan, Guohui, et al.
Published: (2025)

Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
by: Marazzina, Daniele
Published: (2024)

In-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models
by: Jacquier, Antoine, et al.
Published: (2025)

Local and Global Balance in Financial Correlation Networks: an Application to Investment Decisions
by: Bartesaghi, Paolo, et al.
Published: (2025)

Neural Functionally Generated Portfolios
by: Monoyios, Michael, et al.
Published: (2025)

A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
by: Bae, Hyunglip, et al.
Published: (2025)

Universal portfolios in continuous time: an approach in pathwise Itô calculus
by: Han, Xiyue, et al.
Published: (2025)

Merton's Problem with Recursive Perturbed Utility
by: Dai, Min, et al.
Published: (2026)

Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
by: Pesenti, Silvana M., et al.
Published: (2026)

A Geometric Approach To Asset Allocation With Investor Views
by: Antonov, Alexandre V., et al.
Published: (2024)

Robust Asset-Liability Management
by: de Vries, Tjeerd, et al.
Published: (2023)

Optimal mutual insurance against systematic longevity risk
by: Armstrong, John, et al.
Published: (2024)

The Interplay between Utility and Risk in Portfolio Selection
by: Baggiani, Leonardo, et al.
Published: (2025)

Optimal payoff under Bregman-Wasserstein divergence constraints
by: Pesenti, Silvana M., et al.
Published: (2024)

Utility Maximisation with Model-independent Constraints
by: Cox, Alexander M. G., et al.
Published: (2025)

Risk Budgeting Allocation for Dynamic Risk Measures
by: Pesenti, Silvana M., et al.
Published: (2023)

A Three--Dimensional Efficient Surface for Portfolio Optimization
by: Qiu, Yimeng
Published: (2026)

The Elasticity of Quantitative Investment
by: Davis, Carter
Published: (2023)

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
by: Dolinsky, Yan
Published: (2025)

Optimal Transport Divergences induced by Scoring Functions
by: Pesenti, Silvana M., et al.
Published: (2023)

Relative portfolio optimization via a value at risk based constraint
by: Bäuerle, Nicole, et al.
Published: (2025)

Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs
by: Narajewski, Michał, et al.
Published: (2021)

Multiscale Markowitz
by: Nayar, Revant, et al.
Published: (2024)

Competitive optimal portfolio selection under mean-variance criterion
by: Shao, Guojiang, et al.
Published: (2025)

Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
by: Wang, Wenyuan, et al.
Published: (2024)

Single-Period Portfolio Selection via Information Projection
by: Yang, Bo-Yu, et al.
Published: (2026)

Explainable Regime Aware Investing
by: Boukardagha, Amine
Published: (2026)

Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

Optimizing Sparse Mean-Reverting Portfolio
by: Yoon, Sung Min
Published: (2024)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
by: Chen, Yuling Max, et al.
Published: (2025)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
by: Grzelak, Lech A.
Published: (2022)

Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network
by: Hu, Zeyun, et al.
Published: (2025)

Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
by: Shi, Xiaomin, et al.
Published: (2025)

Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
by: Lam, Duy Khanh
Published: (2024)

A novel approach to trading strategy parameter optimization using double out-of-sample data and walk-forward techniques
by: Mroziewicz, Tomasz, et al.
Published: (2026)

Longitudinal market structure detection using a dynamic modularity-spectral algorithm
by: Wirth, Philipp, et al.
Published: (2024)