The geometry of higher order modern portfolio theory
Fuente:
arXiv
Saved in:
| Main Author: | Horobet, Emil |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
High order universal portfolios
by: Turinici, Gabriel
Published: (2023)
by: Turinici, Gabriel
Published: (2023)
Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)
by: Hamaguchi, Yushi, et al.
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)
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)
Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Bifurcation in optimal retirement
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)
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)
The Sherman-Morrison-Markowitz Portfolio
by: Pav, Steven E.
Published: (2026)
by: Pav, Steven E.
Published: (2026)
Asymptotic methods for transaction costs
by: Mayerhofer, Eberhard
Published: (2024)
by: Mayerhofer, Eberhard
Published: (2024)
Portfolio optimisation: bridging the gap between theory and practice
by: Valle, Cristiano Arbex
Published: (2024)
by: Valle, Cristiano Arbex
Published: (2024)
Pathwise analysis of log-optimal portfolios
by: Allan, Andrew L., et al.
Published: (2025)
by: Allan, Andrew L., et al.
Published: (2025)
Portfolio optimisation with options
by: Chan, Jonathan Raimana, et al.
Published: (2021)
by: Chan, Jonathan Raimana, et al.
Published: (2021)
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)
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)
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)
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)
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)
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)
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)
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)
Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)
by: Černý, Aleš, 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)
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)
by: Bäuerle, Nicole, et al.
Published: (2021)
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)
The lexical ratio: A new perspective on portfolio diversification
by: Mohseni, Sayyed Faraz, et al.
Published: (2024)
by: Mohseni, Sayyed Faraz, et al.
Published: (2024)
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)
by: Angoshtari, Bahman, et al.
Published: (2024)
Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2022)
by: Gabih, Abdelali, et al.
Published: (2022)
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)
Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)
by: Bianchetti, Marco, et al.
Published: (2025)
Entropy Regularization under Bayesian Drift Uncertainty
by: Au, Andy
Published: (2026)
by: Au, Andy
Published: (2026)
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)
$α$-robust utility maximization with intractable claims: A quantile optimization approach
by: Chen, Xinyu, et al.
Published: (2026)
by: Chen, Xinyu, 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)
Post Selection Estimation of Sharpe Ratios
by: Pav, Steven E.
Published: (2026)
by: Pav, Steven E.
Published: (2026)
Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)
by: Borgonovo, Emanuele, et al.
Published: (2026)
Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)
by: Sekine, Masashi
Published: (2026)
Feasibility-First Satellite Integration in Robust Portfolio Architectures
by: Garrone, Roberto
Published: (2026)
by: Garrone, Roberto
Published: (2026)
Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)
by: Angoshtari, Bahman, et al.
Published: (2024)
Similar Items
-
High order universal portfolios
by: Turinici, Gabriel
Published: (2023) -
Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024) -
Time-consistent portfolio selection with monotone mean-variance preferences
by: Wang, Yike, et al.
Published: (2025) -
Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
by: Mink, Mark, et al.
Published: (2022) -
Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)