:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Giller, Graham L.
Format:	Preprint
Published:	2024
Subjects:	Portfolio Management 15A18
Online Access:	https://arxiv.org/abs/2411.08864
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
by: Giller, Graham L
Published: (2025)

Correlation without Factors in Retail Cryptocurrency Markets
by: Giller, Graham L.
Published: (2024)

An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
by: Giller, Graham L.
Published: (2024)

A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
by: Cheng, Tuoyuan, et al.
Published: (2023)

Optimal Option Portfolios for Skew-Elliptical t Returns
by: Sung, Kyle, et al.
Published: (2026)

Event-Driven Market Co-Movement Dynamics in Critical Mineral Equities: An Empirical Framework Using Change Point Detection and Cross-Sectional Analysis
by: Wang, Haibo
Published: (2026)

Distributional Portfolio Optimization (DPO): A Unified Framework for Distributions over Weights, Returns, and Parameters
by: Alonso, Miquel Noguer i
Published: (2026)

Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
by: Kothari, Saumya, et al.
Published: (2024)

Correlation Structures and Regime Shifts in Nordic Stock Markets
by: Girnyk, Maksym A.
Published: (2025)

Deep Learning, Predictability, and Optimal Portfolio Returns
by: Babiak, Mykola, et al.
Published: (2020)

Institutional Adoption and Correlation Dynamics: Bitcoin's Evolving Role in Financial Markets
by: Wu, Di
Published: (2025)

Return Prediction for Mean-Variance Portfolio Selection: How Decision-Focused Learning Shapes Forecasting Models
by: Lee, Junhyeong, et al.
Published: (2024)

Systematic Comparable Company Analysis and Computation of Cost of Equity using Clustering
by: Perves, Mohammed
Published: (2024)

Construction and Hedging of Equity Index Options Portfolios
by: Wysocki, Maciej, et al.
Published: (2024)

ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs
by: Anic, Nikolas, et al.
Published: (2025)

Collective Defined Contribution Schemes Without Intergenerational Cross-Subsidies
by: Armstrong, John, et al.
Published: (2025)

Quantifying the Risk-Return Tradeoff in Forecasting
by: Coulombe, Philippe Goulet
Published: (2026)

NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading
by: Liu, Hsiang-Hui, et al.
Published: (2023)

Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
by: Cao, Yue, et al.
Published: (2025)

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)

Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy
by: Chakraborty, Biswarup
Published: (2025)

On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
by: Alexander, Nolan, et al.
Published: (2026)

Joint Return and Risk Modeling with Deep Neural Networks for Portfolio Construction
by: Park, Keonvin
Published: (2026)

Comparison of Markowitz Model and Single-Index Model on Portfolio Selection of Malaysian Stocks
by: Lee, Zhang Chern, et al.
Published: (2024)

Fine-Tuning Large Language Models for Stock Return Prediction Using Newsflow
by: Guo, Tian, et al.
Published: (2024)

Sector Rotation by Factor Model and Fundamental Analysis
by: Yang, Runjia, et al.
Published: (2023)

A Dynamic Model of Private Asset Allocation
by: Chen, Hui, et al.
Published: (2025)

A Causal Perspective of Stock Prediction Models
by: Xu, Songci, et al.
Published: (2025)

Modern Portfolio Diversification with Arte-Blue Chip Index
by: Levy, Simon, et al.
Published: (2024)

Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
by: Lis, Szymon
Published: (2024)

A Global Optimal Theory of Portfolio beyond R-$σ$ Model
by: Liu, Yifan, et al.
Published: (2026)

Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models
by: Yamamichi, Hiroki
Published: (2025)

Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay
by: Lee, Chorok
Published: (2025)

Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models
by: Wysocki, Maciej, et al.
Published: (2025)

The New Quant: A Survey of Large Language Models in Financial Prediction and Trading
by: Fu, Weilong
Published: (2025)

Constructing a Portfolio Optimization Benchmark Framework for Evaluating Large Language Models
by: Cho, Hanyong, et al.
Published: (2026)

Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
by: Olkhov, Victor
Published: (2024)

Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints
by: Gao, Jianjun, et al.
Published: (2025)

EFS: Evolutionary Factor Searching for Sparse Portfolio Optimization Using Large Language Models
by: Luo, Haochen, et al.
Published: (2025)

RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction
by: Wang, Yilun, et al.
Published: (2024)