New approximate stochastic dominance approaches for Enhanced Indexation models
Fuente:
arXiv
Saved in:
| Main Authors: | Cesarone, Francesco, Puerto, Justo |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
by: Deng, Qi, et al.
Published: (2023)
by: Deng, Qi, et al.
Published: (2023)
A Geometric Approach To Asset Allocation With Investor Views
by: Antonov, Alexandre V., et al.
Published: (2024)
by: Antonov, Alexandre V., et al.
Published: (2024)
Causality between investor sentiment and the shares return on the Moroccan and Tunisian financial markets
by: Mounira, Chniguir, et al.
Published: (2023)
by: Mounira, Chniguir, et al.
Published: (2023)
Cross-Stock Predictability via LLM-Augmented Semantic Networks
by: Huang, Yikuan, et al.
Published: (2026)
by: Huang, Yikuan, et al.
Published: (2026)
An Analytical Approach to (Meta)Relational Models Theory, and its Application to Triple Bottom Line (Profit, People, Planet) -- Towards Social Relations Portfolio Management
by: Farzinnia, Arsham, et al.
Published: (2024)
by: Farzinnia, Arsham, et al.
Published: (2024)
Portfolio Optimization under Recursive Utility via Reinforcement Learning
by: Chang, Minkey
Published: (2026)
by: Chang, Minkey
Published: (2026)
Artificial Intelligence-based Analysis of Change in Public Finance between US and International Markets
by: Panda, Kapil
Published: (2023)
by: Panda, Kapil
Published: (2023)
A Tick-by-Tick Solution for Concentrated Liquidity Provisioning
by: Powers, Corinne
Published: (2024)
by: Powers, Corinne
Published: (2024)
Gas Fees on the Ethereum Blockchain: From Foundations to Derivatives Valuations
by: Meister, Bernhard K, et al.
Published: (2024)
by: Meister, Bernhard K, et al.
Published: (2024)
Forecasting stock return distributions around the globe with quantile neural networks
by: Barunik, Jozef, et al.
Published: (2024)
by: Barunik, Jozef, et al.
Published: (2024)
Financial Performance and Economic Implications of COFCO's Strategic Acquisition of Mengniu
by: Ji, Jessica, et al.
Published: (2024)
by: Ji, Jessica, et al.
Published: (2024)
An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds
by: Jeyaprakash, Rajesh ADJ, et al.
Published: (2025)
by: Jeyaprakash, Rajesh ADJ, et al.
Published: (2025)
ESG Signaling on Wall Street in the AI Era
by: Chu, Qionghua
Published: (2025)
by: Chu, Qionghua
Published: (2025)
Deep Learning, Predictability, and Optimal Portfolio Returns
by: Babiak, Mykola, et al.
Published: (2020)
by: Babiak, Mykola, et al.
Published: (2020)
From Binary Screens to Continuous Compliance: A Shariah Screening Measure for Portfolio Design
by: Qadi, Abdulrahman, et al.
Published: (2025)
by: Qadi, Abdulrahman, et al.
Published: (2025)
Sparse spanning portfolios and under-diversification with second-order stochastic dominance
by: Arvanitis, Stelios, et al.
Published: (2024)
by: Arvanitis, Stelios, et al.
Published: (2024)
Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
by: Chen, Zhi, et al.
Published: (2025)
by: Chen, Zhi, et al.
Published: (2025)
High-Dimensional Mean-Variance Spanning Tests
by: Ardia, David, et al.
Published: (2024)
by: Ardia, David, et al.
Published: (2024)
Is the annualized compounded return of Medallion over 35%?
by: Guo, Shuxin, et al.
Published: (2024)
by: Guo, Shuxin, et al.
Published: (2024)
Data-generating process and time-series asset pricing
by: Guo, Shuxin, et al.
Published: (2024)
by: Guo, Shuxin, et al.
Published: (2024)
Maximum drawdown, recovery, and momentum
by: Choi, Jaehyung
Published: (2014)
by: Choi, Jaehyung
Published: (2014)
Interpretable Systematic Risk around the Clock
by: He, Songrun
Published: (2026)
by: He, Songrun
Published: (2026)
Theoretical Frameworks for Integrating Sustainability Factors into Institutional Investment Decision-Making
by: Alhamis, Innocentus
Published: (2025)
by: Alhamis, Innocentus
Published: (2025)
Market-Based "Actual" Returns of Investors
by: Olkhov, Victor
Published: (2023)
by: Olkhov, Victor
Published: (2023)
Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
by: Olkhov, Victor
Published: (2025)
by: Olkhov, Victor
Published: (2025)
Unwitting Markowitz' Simplification of Portfolio Random Returns
by: Olkhov, Victor
Published: (2025)
by: Olkhov, Victor
Published: (2025)
Market-Based Variance of Market Portfolio and of Entire Market
by: Olkhov, Victor
Published: (2025)
by: Olkhov, Victor
Published: (2025)
Machine Learning Classification and Portfolio Allocation: with Implications from Machine Uncertainty
by: Bai, Yang, et al.
Published: (2021)
by: Bai, Yang, et al.
Published: (2021)
Great year, bad Sharpe? A note on the joint distribution of performance and risk-adjusted return
by: Smerlak, Matteo
Published: (2023)
by: Smerlak, Matteo
Published: (2023)
Financial Statement Analysis with Large Language Models
by: Kim, Alex, et al.
Published: (2024)
by: Kim, Alex, et al.
Published: (2024)
Dynamic Factor Allocation Leveraging Regime-Switching Signals
by: Shu, Yizhan, et al.
Published: (2024)
by: Shu, Yizhan, et al.
Published: (2024)
Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
by: Huang, Allen Yikuan, et al.
Published: (2026)
by: Huang, Allen Yikuan, et al.
Published: (2026)
Impact IRR: Leveraging Modern Portfolio Theory to Define Impact Investments
by: Soliman, Daniel
Published: (2025)
by: Soliman, Daniel
Published: (2025)
Market-Based Probability of Stock Returns
by: Olkhov, Victor
Published: (2023)
by: Olkhov, Victor
Published: (2023)
Predictive Power of LLMs in Financial Markets
by: Shi, Jerick, et al.
Published: (2024)
by: Shi, Jerick, et al.
Published: (2024)
Dynamic ETF Portfolio Optimization Using enhanced Transformer-Based Models for Covariance and Semi-Covariance Prediction(Work in Progress)
by: Zhu, Jiahao, et al.
Published: (2024)
by: Zhu, Jiahao, et al.
Published: (2024)
Sizing the bets in a focused portfolio
by: Vukcevic, Vuko, et al.
Published: (2024)
by: Vukcevic, Vuko, et al.
Published: (2024)
Extracting Alpha from Financial Analyst Networks
by: Gorduza, Dragos, et al.
Published: (2024)
by: Gorduza, Dragos, et al.
Published: (2024)
Finding Near-Optimal Portfolios With Quality-Diversity
by: Gašperov, Bruno, et al.
Published: (2024)
by: Gašperov, Bruno, et al.
Published: (2024)
DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction
by: Zhong, Jianyuan, et al.
Published: (2024)
by: Zhong, Jianyuan, et al.
Published: (2024)
Similar Items
-
Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
by: Deng, Qi, et al.
Published: (2023) -
A Geometric Approach To Asset Allocation With Investor Views
by: Antonov, Alexandre V., et al.
Published: (2024) -
Causality between investor sentiment and the shares return on the Moroccan and Tunisian financial markets
by: Mounira, Chniguir, et al.
Published: (2023) -
Cross-Stock Predictability via LLM-Augmented Semantic Networks
by: Huang, Yikuan, et al.
Published: (2026) -
An Analytical Approach to (Meta)Relational Models Theory, and its Application to Triple Bottom Line (Profit, People, Planet) -- Towards Social Relations Portfolio Management
by: Farzinnia, Arsham, et al.
Published: (2024)