Copertina

A Novel approach to portfolio construction

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Di Matteo, T., Riso, L., Zoia, M. G.
Natura:	Preprint
Pubblicazione:	2026
Soggetti:	Portfolio Management Machine Learning Computational Finance Risk Management
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Potential Customer Lifetime Value in Financial Institutions: The Usage Of Open Banking Data to Improve CLV Estimation
di: de Brito, João B. G., et al.
Pubblicazione: (2025)

Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network
di: Hu, Zeyun, et al.
Pubblicazione: (2025)

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
di: Dhandapani, Vikranth Lokeshwar, et al.
Pubblicazione: (2024)

Utility Maximisation with Model-independent Constraints
di: Cox, Alexander M. G., et al.
Pubblicazione: (2025)

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

Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
di: Pesenti, Silvana M., et al.
Pubblicazione: (2026)

Optimal payoff under Bregman-Wasserstein divergence constraints
di: Pesenti, Silvana M., et al.
Pubblicazione: (2024)

Risk Budgeting Allocation for Dynamic Risk Measures
di: Pesenti, Silvana M., et al.
Pubblicazione: (2023)

A Three--Dimensional Efficient Surface for Portfolio Optimization
di: Qiu, Yimeng
Pubblicazione: (2026)

Interpretable Systematic Risk around the Clock
di: He, Songrun
Pubblicazione: (2026)

Robust Asset-Liability Management
di: de Vries, Tjeerd, et al.
Pubblicazione: (2023)

Maximum drawdown, recovery, and momentum
di: Choi, Jaehyung
Pubblicazione: (2014)

Optimal mutual insurance against systematic longevity risk
di: Armstrong, John, et al.
Pubblicazione: (2024)

The Interplay between Utility and Risk in Portfolio Selection
di: Baggiani, Leonardo, et al.
Pubblicazione: (2025)

Is the annualized compounded return of Medallion over 35%?
di: Guo, Shuxin, et al.
Pubblicazione: (2024)

Theoretical Frameworks for Integrating Sustainability Factors into Institutional Investment Decision-Making
di: Alhamis, Innocentus
Pubblicazione: (2025)

Data-generating process and time-series asset pricing
di: Guo, Shuxin, et al.
Pubblicazione: (2024)

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

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
di: Deng, Qi, et al.
Pubblicazione: (2023)

Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
di: Arzel, Jules, et al.
Pubblicazione: (2026)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
di: Li, Chi-Lin, et al.
Pubblicazione: (2023)

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
di: Sovbetov, Yhlas
Pubblicazione: (2025)

Machine Learning Based Stress Testing Framework for Indian Financial Market Portfolios
di: G, Vidya Sagar, et al.
Pubblicazione: (2025)

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

RiskLabs: Predicting Financial Risk Using Large Language Model based on Multimodal and Multi-Sources Data
di: Cao, Yupeng, et al.
Pubblicazione: (2024)

Optimal Transport Divergences induced by Scoring Functions
di: Pesenti, Silvana M., et al.
Pubblicazione: (2023)

The Elasticity of Quantitative Investment
di: Davis, Carter
Pubblicazione: (2023)

Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance
di: Cetingoz, Adil Rengim, et al.
Pubblicazione: (2025)

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)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
di: Grzelak, Lech A.
Pubblicazione: (2022)

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
di: Chen, Zhi, et al.
Pubblicazione: (2025)

Regret-Optimized Portfolio Enhancement through Deep Reinforcement Learning and Future Looking Rewards
di: Karzanov, Daniil, et al.
Pubblicazione: (2025)

Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns
di: Gharanchaei, Maysam Khodayari, et al.
Pubblicazione: (2024)

Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data
di: Rosenzweig, Jan
Pubblicazione: (2026)

Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)
di: Singha, Mainak, et al.
Pubblicazione: (2025)

A Multi-step Approach for Minimizing Risk in Decentralized Exchanges
di: Di Nosse, Daniele Maria, et al.
Pubblicazione: (2024)

Shifting the yield curve for fixed-income and derivatives portfolios
di: Bianchi, Michele Leonardo, et al.
Pubblicazione: (2024)

Levy-stable scaling of risk and performance functionals
di: Vlasiuk, Dmitrii
Pubblicazione: (2025)

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

Conditional Risk Minimization with Side Information: A Tractable, Universal Optimal Transport Framework
di: Xie, Xinqiao, et al.
Pubblicazione: (2025)