Saved in:
| Main Authors: | De Blasis, Riccardo, Galati, Luca, Petroni, Filippo |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2501.04646 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Constrained portfolio optimization in a life-cycle model
by: Li, Wenyuan, et al.
Published: (2024)
by: Li, Wenyuan, et al.
Published: (2024)
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
by: Bo, Lijun, et al.
Published: (2023)
by: Bo, Lijun, et al.
Published: (2023)
Signed network models for portfolio optimization
by: Adhikari, Bibhas
Published: (2025)
by: Adhikari, Bibhas
Published: (2025)
Quantum computing approach to realistic ESG-friendly stock portfolios
by: Catalano, Francesco, et al.
Published: (2024)
by: Catalano, Francesco, et al.
Published: (2024)
Class of topological portfolios: Are they better than classical portfolios?
by: Goel, Anubha, et al.
Published: (2026)
by: Goel, Anubha, et al.
Published: (2026)
Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach
by: Jeleskovic, Vahidin, et al.
Published: (2023)
by: Jeleskovic, Vahidin, et al.
Published: (2023)
Optimal trend following portfolios
by: Valeyre, Sebastien
Published: (2022)
by: Valeyre, Sebastien
Published: (2022)
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
by: Pączek, Kewin, et al.
Published: (2025)
by: Pączek, Kewin, et al.
Published: (2025)
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
by: Colaneri, Katia, et al.
Published: (2024)
by: Colaneri, Katia, et al.
Published: (2024)
Risk management in multi-objective portfolio optimization under uncertainty
by: Becker, Yannick, et al.
Published: (2024)
by: Becker, Yannick, et al.
Published: (2024)
A Novel approach to portfolio construction
by: Di Matteo, T., et al.
Published: (2026)
by: Di Matteo, T., et al.
Published: (2026)
Consumption-portfolio choice with preferences for liquid assets
by: Guan, Guohui, et al.
Published: (2025)
by: Guan, Guohui, et al.
Published: (2025)
Universal portfolios in continuous time: an approach in pathwise Itô calculus
by: Han, Xiyue, et al.
Published: (2025)
by: Han, Xiyue, et al.
Published: (2025)
A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
by: Bae, Hyunglip, et al.
Published: (2025)
by: Bae, Hyunglip, et al.
Published: (2025)
Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution
by: Calderín-Ojeda, Enrique, et al.
Published: (2026)
by: Calderín-Ojeda, Enrique, et al.
Published: (2026)
The bias of IID resampled backtests for rolling-window mean-variance portfolios
by: Paskaramoorthy, Andrew, et al.
Published: (2025)
by: Paskaramoorthy, Andrew, et al.
Published: (2025)
Introducing the PIT-plot -- a new tool in the portfolio manager's toolkit
by: Wiklund, Stig-Johan, et al.
Published: (2025)
by: Wiklund, Stig-Johan, et al.
Published: (2025)
Enhancing CVaR portfolio optimisation performance with GAM factor models
by: Lauria, Davide, et al.
Published: (2023)
by: Lauria, Davide, et al.
Published: (2023)
Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
by: Meade, N., et al.
Published: (2025)
by: Meade, N., et al.
Published: (2025)
Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
by: Wang, Wenyuan, et al.
Published: (2024)
by: Wang, Wenyuan, et al.
Published: (2024)
Worst-case values of target semi-variances with applications to robust portfolio selection
by: Cai, Jun, et al.
Published: (2024)
by: Cai, Jun, et al.
Published: (2024)
Bayesian Optimization for CVaR-based portfolio optimization
by: Millar, Robert, et al.
Published: (2025)
by: Millar, Robert, et al.
Published: (2025)
Variable selection for minimum-variance portfolios
by: Moura, Guilherme V., et al.
Published: (2025)
by: Moura, Guilherme V., et al.
Published: (2025)
Sizing the bets in a focused portfolio
by: Vukcevic, Vuko, et al.
Published: (2024)
by: Vukcevic, Vuko, et al.
Published: (2024)
Competitive optimal portfolio selection under mean-variance criterion
by: Shao, Guojiang, et al.
Published: (2025)
by: Shao, Guojiang, et al.
Published: (2025)
Goal-based portfolio selection with mental accounting
by: Bayraktar, Erhan, et al.
Published: (2025)
by: Bayraktar, Erhan, et al.
Published: (2025)
Some general results on risk budgeting portfolios
by: Fassino, Claudia, et al.
Published: (2026)
by: Fassino, Claudia, et al.
Published: (2026)
Relative portfolio optimization via a value at risk based constraint
by: Bäuerle, Nicole, et al.
Published: (2025)
by: Bäuerle, Nicole, et al.
Published: (2025)
Shifting the yield curve for fixed-income and derivatives portfolios
by: Bianchi, Michele Leonardo, et al.
Published: (2024)
by: Bianchi, Michele Leonardo, et al.
Published: (2024)
Time consistent portfolio strategies for a general utility function
by: Mbodji, Oumar
Published: (2026)
by: Mbodji, Oumar
Published: (2026)
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
by: Černý, Aleš, et al.
Published: (2021)
by: Černý, Aleš, et al.
Published: (2021)
The law of one price in quadratic hedging and mean-variance portfolio selection
by: Černý, Aleš, et al.
Published: (2022)
by: Černý, Aleš, et al.
Published: (2022)
A quantum unstructured search algorithm for discrete optimisation: the use case of portfolio optimisation
by: Matsakos, Titos, et al.
Published: (2025)
by: Matsakos, Titos, et al.
Published: (2025)
Solving dynamic portfolio selection problems via score-based diffusion models
by: Aghapour, Ahmad, et al.
Published: (2025)
by: Aghapour, Ahmad, et al.
Published: (2025)
Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
by: Shi, Xiaomin, et al.
Published: (2024)
by: Shi, Xiaomin, et al.
Published: (2024)
Portfolio and reinsurance optimization under unknown market price of risk
by: Ceci, Claudia, et al.
Published: (2024)
by: Ceci, Claudia, et al.
Published: (2024)
Hedging carbon risk with a network approach
by: Azzone, Michele, et al.
Published: (2023)
by: Azzone, Michele, et al.
Published: (2023)
Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution
by: Lelong, Jérôme, et al.
Published: (2026)
by: Lelong, Jérôme, et al.
Published: (2026)
Turnover of investment portfolio via covariance matrix of returns
by: Kuliga, A. V., et al.
Published: (2024)
by: Kuliga, A. V., et al.
Published: (2024)
The dimensions of it portfolio management (ITPM): an analysis involving it managers in Brazilian companies
by: Pietro Cunha Dolci
Published: (2011)
by: Pietro Cunha Dolci
Published: (2011)
Similar Items
-
Constrained portfolio optimization in a life-cycle model
by: Li, Wenyuan, et al.
Published: (2024) -
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
by: Bo, Lijun, et al.
Published: (2023) -
Signed network models for portfolio optimization
by: Adhikari, Bibhas
Published: (2025) -
Quantum computing approach to realistic ESG-friendly stock portfolios
by: Catalano, Francesco, et al.
Published: (2024) -
Class of topological portfolios: Are they better than classical portfolios?
by: Goel, Anubha, et al.
Published: (2026)