High order universal portfolios
Fuente:
arXiv
Saved in:
| Main Author: | Turinici, Gabriel |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| 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)
by: Liang, Zongxia, et al.
Published: (2024)
Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)
by: Lamert, Kerstin, et al.
Published: (2023)
Bifurcation in optimal retirement
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
by: Havrylenko, Yevhen, et al.
Published: (2022)
by: Havrylenko, Yevhen, et al.
Published: (2022)
Asymptotic methods for transaction costs
by: Mayerhofer, Eberhard
Published: (2024)
by: Mayerhofer, Eberhard
Published: (2024)
Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
by: Liang, Gechun, et al.
Published: (2023)
by: Liang, Gechun, et al.
Published: (2023)
Robo-Advising in Motion: A Model Predictive Control Approach
by: Bielecki, Tomasz R., et al.
Published: (2026)
by: Bielecki, Tomasz R., et al.
Published: (2026)
Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)
by: Angoshtari, Bahman, et al.
Published: (2024)
Robust Utility Optimization via a GAN Approach
by: Krach, Florian, et al.
Published: (2024)
by: Krach, Florian, et al.
Published: (2024)
The PEAL Method: a mathematical framework to streamline securitization structuring
by: Pinto, Andrea, et al.
Published: (2024)
by: Pinto, Andrea, et al.
Published: (2024)
The geometry of higher order modern portfolio theory
by: Horobet, Emil
Published: (2025)
by: Horobet, Emil
Published: (2025)
Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)
by: Bianchetti, Marco, et al.
Published: (2025)
The Sherman-Morrison-Markowitz Portfolio
by: Pav, Steven E.
Published: (2026)
by: Pav, Steven E.
Published: (2026)
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
by: Gnoatto, Alessandro, et al.
Published: (2023)
by: Gnoatto, Alessandro, et al.
Published: (2023)
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
by: Escobar-Anel, Marcos, et al.
Published: (2021)
by: Escobar-Anel, Marcos, et al.
Published: (2021)
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
by: Mink, Mark, et al.
Published: (2022)
by: Mink, Mark, et al.
Published: (2022)
Robust distortion risk metrics and portfolio optimization
by: Liu, Peng, et al.
Published: (2025)
by: Liu, Peng, et al.
Published: (2025)
Two-fund separation under hyperbolically distributed returns and concave utility functions
by: Abudurexiti, Nuerxiati, et al.
Published: (2024)
by: Abudurexiti, Nuerxiati, et al.
Published: (2024)
Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
by: Kopeliovich, Yaacov, et al.
Published: (2024)
by: Kopeliovich, Yaacov, et al.
Published: (2024)
Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
by: Chong, Wing Fung, et al.
Published: (2024)
by: Chong, Wing Fung, et al.
Published: (2024)
Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)
by: Borgonovo, Emanuele, et al.
Published: (2026)
The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
by: Kashyap, Ravi
Published: (2024)
by: Kashyap, Ravi
Published: (2024)
Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)
by: Gutekunst, Florian, et al.
Published: (2025)
Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
by: Orozco, German Nova, et al.
Published: (2026)
by: Orozco, German Nova, et al.
Published: (2026)
Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)
by: Fei, Zhe, et al.
Published: (2025)
A Clarifying Note on Long-Horizon Investment and Dollar-Cost Averaging: An Effective Investment Exposure Perspective
by: Sato, Zeusu
Published: (2025)
by: Sato, Zeusu
Published: (2025)
Portfolio optimisation: bridging the gap between theory and practice
by: Valle, Cristiano Arbex
Published: (2024)
by: Valle, Cristiano Arbex
Published: (2024)
Feasibility-First Satellite Integration in Robust Portfolio Architectures
by: Garrone, Roberto
Published: (2026)
by: Garrone, Roberto
Published: (2026)
M6 Investment Challenge: The Role of Luck and Strategic Considerations
by: Staněk, Filip
Published: (2024)
by: Staněk, Filip
Published: (2024)
Almost Perfect Shadow Prices
by: Mayerhofer, Eberhard
Published: (2024)
by: Mayerhofer, Eberhard
Published: (2024)
Time-consistent portfolio selection with monotone mean-variance preferences
by: Wang, Yike, et al.
Published: (2025)
by: Wang, Yike, et al.
Published: (2025)
Longitudinal review of portfolios with minimum variance approach before during and after the pandemic
by: Ossa, Genjis A., et al.
Published: (2025)
by: Ossa, Genjis A., et al.
Published: (2025)
Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)
by: Birungi, Criscent, et al.
Published: (2025)
A Portfolio's Common Causal Conditional Risk-neutral PDE
by: Dominguez, Alejandro Rodriguez
Published: (2024)
by: Dominguez, Alejandro Rodriguez
Published: (2024)
Utility-Invariant Support Selection and Eventwise Decoupling for Simultaneous Independent Multi-Outcome Bets
by: Long, Christopher D.
Published: (2026)
by: Long, Christopher D.
Published: (2026)
Pathwise analysis of log-optimal portfolios
by: Allan, Andrew L., et al.
Published: (2025)
by: Allan, Andrew L., et al.
Published: (2025)
Robust optimal consumption, investment and reinsurance for recursive preferences
by: Dadzie, Elizabeth, et al.
Published: (2025)
by: Dadzie, Elizabeth, et al.
Published: (2025)
Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
by: Cotton, Peter
Published: (2024)
by: Cotton, Peter
Published: (2024)
Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)
by: Shi, Xiaomin, et al.
Published: (2024)
Similar Items
-
Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024) -
Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023) -
Bifurcation in optimal retirement
by: Ashraf, Bushra Shehnam, et al.
Published: (2025) -
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
by: Havrylenko, Yevhen, et al.
Published: (2022) -
Asymptotic methods for transaction costs
by: Mayerhofer, Eberhard
Published: (2024)