Copertina

Statistical applications of the 20/60/20 rule in risk management and portfolio optimization

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Pączek, Kewin, Jelito, Damian, Pitera, Marcin, Wyłomańska, Agnieszka
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Portfolio Management Methodology
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Conditional correlation estimation and serial dependence identification
di: Pączek, Kewin, et al.
Pubblicazione: (2024)

Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule
di: Woźny, Jakub, et al.
Pubblicazione: (2024)

Cost-aware Portfolios in a Large Universe of Assets
di: Fan, Qingliang, et al.
Pubblicazione: (2024)

Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets
di: Fan, Qingliang, et al.
Pubblicazione: (2024)

Post-Screening Portfolio Selection
di: Uematsu, Yoshimasa, et al.
Pubblicazione: (2026)

A mixture transition distribution approach to portfolio optimization
di: De Blasis, Riccardo, et al.
Pubblicazione: (2025)

Constrained portfolio optimization in a life-cycle model
di: Li, Wenyuan, et al.
Pubblicazione: (2024)

Risk management in multi-objective portfolio optimization under uncertainty
di: Becker, Yannick, et al.
Pubblicazione: (2024)

Signed network models for portfolio optimization
di: Adhikari, Bibhas
Pubblicazione: (2025)

Tensor dynamic conditional correlation model: A new way to pursuit "Holy Grail of investing"
di: Yu, Cheng, et al.
Pubblicazione: (2025)

Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
di: Jha, Ayush, et al.
Pubblicazione: (2025)

Introducing the PIT-plot -- a new tool in the portfolio manager's toolkit
di: Wiklund, Stig-Johan, et al.
Pubblicazione: (2025)

Class of topological portfolios: Are they better than classical portfolios?
di: Goel, Anubha, et al.
Pubblicazione: (2026)

Worst-case values of target semi-variances with applications to robust portfolio selection
di: Cai, Jun, et al.
Pubblicazione: (2024)

Optimal trend following portfolios
di: Valeyre, Sebastien
Pubblicazione: (2022)

Some general results on risk budgeting portfolios
di: Fassino, Claudia, et al.
Pubblicazione: (2026)

FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking
di: Machkour, Jasin, et al.
Pubblicazione: (2024)

Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy
di: Lu, Yonghe, et al.
Pubblicazione: (2024)

On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
di: Colaneri, Katia, et al.
Pubblicazione: (2024)

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

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

On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
di: Bo, Lijun, et al.
Pubblicazione: (2023)

Quantum computing approach to realistic ESG-friendly stock portfolios
di: Catalano, Francesco, et al.
Pubblicazione: (2024)

The bias of IID resampled backtests for rolling-window mean-variance portfolios
di: Paskaramoorthy, Andrew, et al.
Pubblicazione: (2025)

Enhancing CVaR portfolio optimisation performance with GAM factor models
di: Lauria, Davide, et al.
Pubblicazione: (2023)

Portfolio and reinsurance optimization under unknown market price of risk
di: Ceci, Claudia, et al.
Pubblicazione: (2024)

Latent Variable Estimation in Bayesian Black-Litterman Models
di: Lin, Thomas Y. L., et al.
Pubblicazione: (2025)

Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
di: Meade, N., et al.
Pubblicazione: (2025)

Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
di: Wang, Wenyuan, et al.
Pubblicazione: (2024)

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

The dimensions of it portfolio management (ITPM): an analysis involving it managers in Brazilian companies
di: Pietro Cunha Dolci
Pubblicazione: (2011)

Multi-Industry Simplex 2.0 : Temporally-Evolving Probabilistic Industry Classification
di: Papenkov, Maksim
Pubblicazione: (2024)

Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach
di: Jeleskovic, Vahidin, et al.
Pubblicazione: (2023)

Bayesian Optimization for CVaR-based portfolio optimization
di: Millar, Robert, et al.
Pubblicazione: (2025)

Variable selection for minimum-variance portfolios
di: Moura, Guilherme V., et al.
Pubblicazione: (2025)

Sizing the bets in a focused portfolio
di: Vukcevic, Vuko, et al.
Pubblicazione: (2024)

High-Dimensional Mean-Variance Spanning Tests
di: Ardia, David, et al.
Pubblicazione: (2024)

Goal-based portfolio selection with mental accounting
di: Bayraktar, Erhan, et al.
Pubblicazione: (2025)

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

Simulation-based approach for Multiproject Scheduling based on composite priority rules
di: Alvarez-Campana, Pablo, et al.
Pubblicazione: (2024)