{"topic":"Portfolio & Allocation","items":[{"title":"Active Portfolio Management in Concentrated Equity Markets","url":"/papers/arxiv/2609.27113/","summary":"Formulates a stochastic control problem for actively allocating between equal-weighted and market portfolios based on a diversity-dispersion model, outperforming passive strategies during market bubbles.","featured":"2026-09-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"fanfare"},{"title":"Decision-Focused Learning for Mean-Variance Portfolio Optimization via KKT-Based Reformulation","url":"/papers/arxiv/2609.21427/","summary":"Proposes a KKT-based decision-focused learning method that trains mean-variance portfolio models by directly minimizing downstream portfolio loss while preserving all constraints.","featured":"2026-09-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"fanfare"},{"title":"The Critical Line Algorithm and the Constrained LASSO: One Curve, Two Literatures","url":"/papers/arxiv/2609.25704/","summary":"Shows that mean-variance portfolio selection and the constrained LASSO trace identical piecewise-linear solution paths, mapping their parametrizations exactly.","featured":"2026-09-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"fanfare"},{"title":"Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks","url":"/papers/arxiv/2609.26349/","summary":"Characterizes optimal consumption and investment strategies in markets with stochastic volatility clocks using infinite-horizon backward SDEs, extending to rough and hyper-rough regimes.","featured":"2026-09-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"fanfare"},{"title":"Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides","url":"/papers/ssrn/7508299/","summary":"Using factor selection, the study finds mean active alpha of plus 9 basis points monthly for mutual funds, reversing the no-alpha conclusion when benchmarks are tailored to each fund.","featured":"2026-09-25","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"fanfare"},{"title":"Data-Driven Minimax-Regret Portfolio Optimization under Tail-Risk Ambiguity","url":"/papers/ssrn/7486600/","summary":"The research proposes a data-driven portfolio method that blends tail-risk models and projects onto valid mixtures, providing bounds on Expected Shortfall regret without Wasserstein assumptions.","featured":"2026-09-25","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"fanfare"},{"title":"HKC05 - Household Portfolios, Corporate Leverage, and the Supply Side of Monetary Policy","url":"/papers/repec/cxv-wpaper-2602/","summary":"Corporate leverage affects how monetary tightening transmits to the real economy: equity holders lose wealth while safe-asset holders are cushioned, raising the sacrifice ratio.","featured":"2026-09-25","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"fanfare"},{"title":"Causal PDE-Control Models for Dynamic Portfolio Optimization with Latent Drivers","url":"/papers/arxiv/2509.09585/","summary":"Causal PDE-Control Models (CPCMs) offer a strong and clear framework for portfolio allocation that combines causal factors and complex filtering, outperforming standard econometric and machine-learning techniques.","featured":"2026-04-16","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":1,"scale":"shares"},{"title":"From Core to Periphery? Assessing Remote Works Potential to Rebalance EU Regional Development","url":"/papers/arxiv/2604.08252/","summary":"Remote work after the pandemic is causing people to move within cities for better quality of life, rather than relocating to rural areas.","featured":"2026-04-16","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":0,"scale":"shares"},{"title":"DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management","url":"/papers/arxiv/2601.05975/","summary":"Deep Learning for Portfolio Management: DeePM uses deep learning to improve macro portfolio management, delivering better risk-adjusted returns than traditional methods across various economic conditions.","featured":"2026-01-16","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":1,"scale":"shares"},{"title":"Vaccine Innovation Funding Strategy","url":"/papers/ssrn/4480682/","summary":"A portfolio approach to drug development may improve investment returns and speed up vaccine creation.","featured":"2025-12-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":108,"scale":"shares"},{"title":"Regulating Cash Holdings: Assessing Lost Returns in Mutual Funds","url":"/papers/ssrn/4478272/","summary":"Israeli mutual funds hold excessive cash, indicating a need for better liquidity management to reduce redemption risks.","featured":"2025-12-28","label":"SSRN","topic":"Portfolio & Allocation","cites":3,"score":58,"scale":"shares"},{"title":"Sustainable Investment in Climate","url":"/papers/ssrn/4475732/","summary":"Global investments in environmental and climate projects are diversifying as investors integrate more green initiatives into their portfolios.","featured":"2025-12-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":66,"scale":"shares"},{"title":"Sparse Risk Parity Enhanced Index Tracking Portfolio","url":"/papers/ssrn/4470609/","summary":"It tackles a sparse risk parity portfolio problem for index tracking while managing asset risks, with successful results on the SP 500.","featured":"2025-12-28","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":169,"scale":"shares"},{"title":"Tail Risk-Managed Portfolio Strategies","url":"/papers/ssrn/4463810/","summary":"It develops real-time Tail Risk-Managed portfolios that minimize tail risks and enhance risk-return profiles compared to standard strategies.","featured":"2025-12-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":440,"scale":"shares"},{"title":"Smart Data Portfolios: A Governance Framework for AI Training Data","url":"/papers/arxiv/2512.16452/","summary":"The Smart Data Portfolio framework defines data governance in AI as a trade-off between information risk and fairness, creating a Governance-Efficient Frontier for optimal data allocation in AI services.","featured":"2025-12-19","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":1,"scale":"shares"},{"title":"Exploratory Mean-Variance with Jumps: An Equilibrium Approach","url":"/papers/arxiv/2512.09224/","summary":"This study uses Reinforcement Learning to solve the Mean-Variance Portfolio Optimization problem, creating a profitable investment strategy that adapts to changing preferences over time.","featured":"2025-12-14","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":1,"scale":"shares"},{"title":"Mutual Fund Decline in 401(k)s","url":"/papers/ssrn/4960502/","summary":"This research highlights the rise of collective investment trusts in 401k plans due to their lower costs and tailored options for investors.","featured":"2025-12-01","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":154,"scale":"shares"},{"title":"Behavioral Biases in Fund Management","url":"/papers/ssrn/4961553/","summary":"The study looks at how mutual fund performance is influenced by internal biases when large amounts of capital are invested.","featured":"2025-12-01","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":128,"scale":"shares"},{"title":"Portfolio Optimization via Transfer Learning","url":"/papers/arxiv/2511.21221/","summary":"A portfolio strategy leveraging transfer learning improves investment results by filtering useful information from noise, leading to better performance as indicated by a higher Sharpe ratio.","featured":"2025-12-01","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":1,"scale":"shares"},{"title":"Black-Litterman and ESG Portfolio Optimization","url":"/papers/arxiv/2511.21850/","summary":"A unique portfolio optimization method that incorporates ESG scores into the Black-Litterman framework shows significant returns with daily updates.","featured":"2025-12-01","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":0,"scale":"shares"},{"title":"Effective and Scalable Programs to Facilitate Labor Market Transitions for Women in Technology","url":"/papers/arxiv/2211.09968/","summary":"In Poland, cheap online portfolio challenges and one‑on‑one mentoring sharply increased women’s tech employment, and data-driven targeting improved admissions.","featured":"2025-11-12","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":61,"scale":"shares"},{"title":"A mathematical study of the excess growth rate","url":"/papers/arxiv/2510.25740/","summary":"- Excess Growth - Excess Rate - Growth Excess - Surplus Growth - Overgrowth - Growth Surplus Recommended: Excess Growth (keeps meaning but is more concise).: The paper proves that a central portfolio metric—the excess growth rate—can be exactly described using basic information‑theory ideas and a few natural axioms. In short, it shows that the extra growth a portfolio achieves is essentially an information quantity, so portfolio performance can be understood like information gain.","featured":"2025-11-04","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds","url":"/papers/arxiv/2510.19619/","summary":"Finds Indian mutual funds often change investment styles, which can materially alter their risk‑adjusted returns.","featured":"2025-10-27","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"Managing Portfolios Across the Return Distribution","url":"/papers/arxiv/2510.19271/","summary":"Finds that investors targeting specific outcome quantiles change volatility exposure (cutting risk to protect downside or seeking dispersion for upside) and introduces a distributional actor‑critic to learn such strategies.","featured":"2025-10-27","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Optimal allocations with distortion risk measures and mixed risk attitudes","url":"/papers/arxiv/2510.18236/","summary":"Groups people with similar risk attitudes, reducing the n‑agent risk‑sharing problem to a two‑agent (risk‑averse vs risk‑seeking) model with clear existence conditions.","featured":"2025-10-27","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":8,"scale":"shares"},{"title":"Brazilian ML Portfolios","url":"/papers/repec/eee-ememar-v-51-y-2022-i-pb-s1566014122000085/","summary":"The research investigates the use of machine learning to predict stock returns in Brazil, showing that an Equal Risk Contribution approach greatly enhances risk-adjusted returns.","featured":"2025-10-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management","url":"/papers/arxiv/2510.02986/","summary":"FR-LUX is a new reinforcement learning framework that learns trading policies and remains stable across different market conditions, offering high average Sharpe ratio and excellent risk-return efficiency.","featured":"2025-10-09","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"Signed network models for portfolio optimization","url":"/papers/arxiv/2510.05377/","summary":"The study shows that using negative edges in weighted signed network representations of financial markets can help reduce portfolio risk, performing on par with traditional models.","featured":"2025-10-09","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":6,"scale":"shares"},{"title":"Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty","url":"/papers/arxiv/2510.06986/","summary":"The research introduces an inverse portfolio optimization framework that can deduce latent investor preferences from observed portfolio allocations, offering a robust tool for preference inference and portfolio design.","featured":"2025-10-09","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"Bayesian Portfolio Optimization by Predictive Synthesis","url":"/papers/arxiv/2510.07180/","summary":"The article discusses a portfolio optimization technique using Bayesian predictive synthesis, which merges various asset return prediction models to handle financial market uncertainty.","featured":"2025-10-09","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":19,"scale":"shares"},{"title":"Diffusion-Augmented Reinforcement Learning for Robust Portfolio Optimization under Stress Scenarios","url":"/papers/arxiv/2510.07099/","summary":"The research introduces a framework called DARL that combines DDPMs with DRL for portfolio management, improving its ability to withstand crises.","featured":"2025-10-09","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":7,"scale":"shares"},{"title":"STRAPSim: A Portfolio Similarity Metric for ETF Alignment and Portfolio Trades","url":"/papers/arxiv/2509.24151/","summary":"STRAPSim, a new method for assessing portfolio similarity, surpasses existing measures by using semantic similarity, portfolio share weighting, and residual-aware greedy alignment, proving beneficial in ETF benchmarking, portfolio creation, and systematic execution.","featured":"2025-10-03","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":12,"scale":"shares"},{"title":"From Headlines to Holdings: Deep Learning for Smarter Portfolio Decisions","url":"/papers/arxiv/2509.24144/","summary":"A new deep learning framework for portfolio optimization, which combines LSTM networks, Graph Attention Networks, and financial news sentiment analysis, outperforms traditional benchmarks by directly learning portfolio weights, resulting in higher cumulative returns and Sharpe ratios.","featured":"2025-10-03","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":9,"scale":"shares"},{"title":"A Practitioner's Guide to AI+ML in Portfolio Investing","url":"/papers/arxiv/2509.25456/","summary":"The review offers practical advice on using machine learning tools in portfolio weight formation, stressing the importance of combining these tools with portfolio choice-objective functions for optimal outcomes.","featured":"2025-10-03","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":7,"scale":"shares"},{"title":"AlphaSAGE: Structure-Aware Alpha Mining via GFlowNets for Robust Exploration","url":"/papers/arxiv/2509.25055/","summary":"Alpha Mining: AlphaSAGE, a new framework for automated alpha mining in quantitative finance, uses a structure-aware encoder and Generative Flow Networks to overcome challenges and outperforms existing methods in creating a diverse and predictive portfolio of alphas.","featured":"2025-10-03","label":"arXiv","topic":"Portfolio & Allocation","cites":14,"score":6,"scale":"shares"},{"title":"Myopic Optimality: why reinforcement learning portfolio management strategies lose money","url":"/papers/arxiv/2509.12764/","summary":"Myopic Optimization (MO) outperforms Reinforcement Learning (RL) in portfolio management, resulting in lower costs, increased profits, and reduced model risk.","featured":"2025-09-22","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":19,"scale":"shares"},{"title":"Adaptive and Regime-Aware RL for Portfolio Optimization","url":"/papers/arxiv/2509.14385/","summary":"The study presents a new reinforcement learning framework for portfolio optimization, which performs well under financial stress and supports dynamic asset allocation.","featured":"2025-09-22","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":9,"scale":"shares"},{"title":"THEME: Enhancing Thematic Investing with Semantic Stock Representations and Temporal Dynamics","url":"/papers/arxiv/2508.16936/","summary":"Enhancing Thematic Investing: The study presents THEME, a hierarchical contrastive learning framework for thematic investing, which surpasses baselines in multiple retrieval metrics and enhances portfolio construction performance.","featured":"2025-08-29","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":7,"scale":"shares"},{"title":"Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach","url":"/papers/arxiv/2508.10776/","summary":"The paper introduces a decision-focused learning approach for portfolio optimization, which improves decision performance compared to prediction-focused methods.","featured":"2025-08-20","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":9,"scale":"shares"},{"title":"A 4% withdrawal rate for American retirement spending, derived from a discrete-time model of stochastic returns on assets and their sample moments","url":"/papers/arxiv/2508.10273/","summary":"The 4% rule for retirement withdrawals is based on a model that considers factors like consumption growth, return variance, longevity risk, and bond inclusion, with simulations suggesting that leverage can boost success for stock-heavy portfolios.","featured":"2025-08-20","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":8,"scale":"shares"},{"title":"Assessing dynamic connectedness in global supply chain infrastructure portfolios: The impact of risk factors and extreme events","url":"/papers/arxiv/2508.04858/","summary":"A study on global supply chain infrastructure investment risk factors shows that portfolios with higher ESG scores have stronger connections with other portfolios, with COVID-19 altering these connections.","featured":"2025-08-12","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":10,"scale":"shares"},{"title":"Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship","url":"/papers/arxiv/2508.01138/","summary":"The paper examines the maximum principle and dynamic programming principle in mean-variance portfolio selection of jump diffusions, studying their interrelation.","featured":"2025-08-07","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Pathwise analysis of log-optimal portfolios","url":"/papers/arxiv/2507.18232/","summary":"The research applies the càdlàg rough paths theory to examine the stability and approximation properties of portfolios in financial markets, with a focus on the log-optimal portfolio in an investment-consumption optimization issue.","featured":"2025-07-25","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":7,"scale":"shares"},{"title":"Optimal Decisions for Liquid Staking: Allocation and Exit Timing","url":"/papers/arxiv/2507.14810/","summary":"The study examines optimal entry and exit decisions for investors in a liquid staking protocol and automated market maker, suggesting a fee mechanism that encourages staking and liquidity provision, and showing a stop-loss strategy often yields the highest expected payoff for the investor.","featured":"2025-07-25","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":8,"scale":"shares"},{"title":"Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model","url":"/papers/arxiv/2507.09916/","summary":"A model-free approach using generative diffusion models and a policy gradient algorithm has been suggested for dynamic mean-variance portfolio selection, outperforming the Markowitz portfolio and S&P 500.","featured":"2025-07-17","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":21,"scale":"shares"},{"title":"Beating the Best Constant Rebalancing Portfolio in Long-Term Investment: A Generalization of the Kelly Criterion and Universal Learning Algorithm for Markets with Serial Dependence","url":"/papers/arxiv/2507.05994/","summary":"The paper introduces a new learning algorithm for online portfolio optimization that uses the serial dependence of assets' returns to outperform the best constant rebalancing portfolio in a stochastic market.","featured":"2025-07-10","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":10,"scale":"shares"},{"title":"Quantum stochastic walks for portfolio optimization: theory and implementation on financial networks","url":"/papers/arxiv/2507.03963/","summary":"A study suggests a quantum stochastic walk optimizer for financial markets, which increases the annualized Sharpe ratio by 15% and reduces turnover by 90% compared to traditional optimization.","featured":"2025-07-10","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":5,"scale":"shares"},{"title":"Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails","url":"/papers/arxiv/2507.04208/","summary":"The article discusses a framework that combines behavioral distortions with rational portfolio optimization, highlighting the importance of return asymmetry and belief distortions in managing portfolio risk and capital allocation in high-risk situations.","featured":"2025-07-10","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":11,"scale":"shares"},{"title":"skfolio: Portfolio Optimization in Python","url":"/papers/arxiv/2507.04176/","summary":"The skfolio, a new open-source Python library, has been launched for portfolio construction and risk management, allowing machine learning workflows for portfolio optimization.","featured":"2025-07-10","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":22,"scale":"shares"},{"title":"Heterogeneous Participation and Allocation Skews: When is Choice \"Worth it\"?","url":"/papers/arxiv/2507.03600/","summary":"The article investigates the effects of varied participation in Economics and Computation (EconCS) community systems, encouraging the community to decrease participation disparity and create mechanisms that offer quality service to everyone.","featured":"2025-07-10","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":8,"scale":"shares"},{"title":"Decentralised Multi-Manager Fund Framework","url":"/papers/arxiv/2507.00978/","summary":"A new decentralized framework for capital allocation combines multiple strategies and allows both humans and AI to participate in strategy development and allocation, all implemented on-chain.","featured":"2025-07-03","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"Empirical estimator of diversification quotient","url":"/papers/arxiv/2506.20385/","summary":"The Diversification Quotient (DQ) is a robust measure of portfolio diversification, showing more resilience under various distributional settings than the diversification ratio (DR).","featured":"2025-07-03","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":11,"scale":"shares"},{"title":"Neural Functionally Generated Portfolios","url":"/papers/arxiv/2506.19715/","summary":"The paper proposes a new neural-network-based method for learning the generating function of a functionally generated portfolio from market data, offering a strong alternative to traditional portfolio optimization.","featured":"2025-06-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Credit risk for large portfolios of green and brown loans: Extending the ASRF model","url":"/papers/arxiv/2506.12510/","summary":"The study presents a credit risk model for portfolios of green and brown loans, expanding the ASRF framework and demonstrating how value-at-risk is influenced by various factors, providing a foundation for future credit risk modeling advancements.","featured":"2025-06-18","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":5,"scale":"shares"},{"title":"Dynamic allocation: extremes, tail dependence, and regime Shifts","url":"/papers/arxiv/2506.12587/","summary":"The article introduces a complex model for forecasting the potential risks in the global financial market, enhancing global asset allocation strategies.","featured":"2025-06-18","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":13,"scale":"shares"},{"title":"TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio","url":"/papers/arxiv/2506.09330/","summary":"The study presents a portfolio construction framework using momentum and trend-following signals across various asset classes, showing its potential to generate excess returns and manage risk over 22 years.","featured":"2025-06-18","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":19,"scale":"shares"},{"title":"Safety in a Global World","url":"/papers/ssrn/5285858/","summary":"A proposed portfolio theory framework models safety as a variable, investor-specific property that changes based on geographical, political, and institutional factors, rather than assuming a universally risk-free asset.","featured":"2025-06-11","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Portfolio Skewness with Semidefinite Relaxation","url":"/papers/ssrn/5284483/","summary":"A method to estimate higher portfolio moments like skewness using semidefinite relaxation is presented, showing that portfolio skewness can enhance the skewness of the optimal portfolio.","featured":"2025-06-11","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Climate Metrics for Investments","url":"/papers/ssrn/5283074/","summary":"The integration of climate metrics into investment portfolios as optimization constraints is demonstrated, indicating that the MSCI World Index can handle high integration of climate metrics with minimal performance or tracking error losses.","featured":"2025-06-11","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Commodity Futures Investment Process","url":"/papers/ssrn/5286928/","summary":"Hilary Till discusses the commodity investment universe, covering topics like investment focus, return rationale, portfolio construction, and risk management.","featured":"2025-06-11","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Shifted Wishart Processes Portfolio Optimization","url":"/papers/ssrn/5277926/","summary":"The Markov-Modulated Shifted Wishart (MMSW) process is utilized to capture covariance dynamics in a portfolio optimization problem, providing a flexible strategy that adapts to sudden market stress and maintains diversification benefits.","featured":"2025-06-04","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Optimization with RL","url":"/papers/ssrn/5276183/","summary":"The authors suggest a new approach to portfolio optimization that incorporates turnover cost and diversification into a convex optimization framework, using reinforcement learning-based control.","featured":"2025-06-04","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios","url":"/papers/arxiv/2505.24250/","summary":"The study introduces a new momentum framework that adjusts to changing ESG sentiment, showing that portfolios with poor ESG performance outperform those with good ESG performance in pro-ESG regimes due to market overreaction, challenging traditional ESG investment beliefs.","featured":"2025-06-04","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":16,"scale":"shares"},{"title":"A Causation-Based Framework for Pricing and Cost Allocation of Energy, Reserves, and Transmission in Modern Power Systems","url":"/papers/arxiv/2505.24159/","summary":"The article introduces a new pricing model for electricity markets that enhances power system reliability and efficiently allocates operating reserve costs.","featured":"2025-06-04","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":18,"scale":"shares"},{"title":"Risk and Loss Aversion in Financial Decision Making","url":"/papers/ssrn/5273091/","summary":"The research integrates risk and loss aversion into a model of household financial decision-making, finding that loss aversion significantly impacts participation, portfolio allocation, and savings decisions.","featured":"2025-05-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Youth Investment Trends","url":"/papers/ssrn/5267326/","summary":"Young people are increasingly investing in mutual funds and stocks, but financial independence is difficult due to reliance on family support or personal savings.","featured":"2025-05-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Local Preference in Mutual Fund Portfolios in India During Covid-19 – A Study","url":"/papers/ssrn/5269304/","summary":"The study finds that during the Covid-19 period, Indian equity mutual funds increased their investments in foreign stocks, particularly US technology stocks, resulting in unusually high net returns.","featured":"2025-05-30","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Multiperiod Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization","url":"/papers/arxiv/2505.22121/","summary":"The research investigates the effectiveness of buffered Probability of Exceedance strategies in long-term retirement planning through multi-period mean-risk portfolio optimization.","featured":"2025-05-30","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":14,"scale":"shares"},{"title":"A General Theory of Risk Sharing","url":"/papers/arxiv/2505.19276/","summary":"The paper presents a new risk-sharing model that allows for risk distribution among a range of agents, demonstrating the existence of risk-minimizing allocations under specific conditions.","featured":"2025-05-30","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":12,"scale":"shares"},{"title":"Portfolio Gyrations","url":"/papers/ssrn/5255217/","summary":"Portfolio adjustments in equity mutual funds are influenced by various factors, with their importance varying based on market conditions and investment strategies.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"AI Shrinkage for Portfolios","url":"/papers/ssrn/5261738/","summary":"The article introduces a new AI-based tool that enhances the efficiency and performance of risk-optimized portfolios by correcting biases in traditional estimates.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Risks of Passive Investing","url":"/papers/ssrn/5259427/","summary":"The article suggests that the popularity of passive capitalization-weighted index funds may increase systemic risk and distort prices, and recommends rebalancing to non-price-based weights for better long-term returns.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Behavioral Portfolios","url":"/papers/ssrn/5258128/","summary":"The study reveals that ignoring downside asymmetries in portfolio choice under disappointment aversion can lead to significant welfare loss, and that psychological factors can alter risk attitudes.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM YANG DIKELOLA PERUSAHAAN INVESTASI LOKAL DAN ASING DI INDONESIA","url":"/papers/ssrn/5255813/","summary":"There was no significant difference in the performance of stock mutual funds managed by domestic and foreign investment companies in Indonesia from 2010 to 2013.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Mutual Fund Naming and Investor Behavior","url":"/papers/ssrn/5259351/","summary":"Despite regulations, mutual funds whose names don't reflect their holdings are rarely penalized by the market.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Investing in Commodities: A Presentation","url":"/papers/ssrn/5259018/","summary":"Hilary Till's presentation at a conference covered the case for commodities, portfolio construction, and risk management in an actively managed commodity program.","featured":"2025-05-21","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection","url":"/papers/arxiv/2505.10099/","summary":"The article introduces a quick and scalable gradient-based method for portfolio optimization, transforming the complex selection problem into a simpler task, with results comparable to commercial solvers and minimal error in portfolio variance.","featured":"2025-05-21","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":30,"scale":"shares"},{"title":"Mutual Fund Model","url":"/papers/ssrn/5246088/","summary":"A new model for assessing global mutual funds' financial performance has been validated using data from 35 countries over 34 years, considering factors like risk size, diversification, and liquidity.","featured":"2025-05-14","label":"SSRN","topic":"Portfolio & 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provide the best protection against arbitrage for Automated Market Makers' liquidity providers, using random walk theory.","featured":"2025-05-14","label":"arXiv","topic":"Portfolio & Allocation","cites":13,"score":47,"scale":"shares"},{"title":"The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning","url":"/papers/arxiv/2505.07537/","summary":"The use of the soft actor-critic (SAC) algorithm in multi-asset portfolio selection is explored, showing superior performance in both simulated and real markets.","featured":"2025-05-14","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":15,"scale":"shares"},{"title":"Share Repurchase Legalization Impact","url":"/papers/ssrn/5240973/","summary":"Legalizing stock-repurchase boosts investment by improving equity capital access and reallocating idle cash, implying that buyback restrictions could hinder efficient capital allocation.","featured":"2025-05-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Love at First Trade","url":"/papers/ssrn/5238032/","summary":"Chinese investors tend to favor the first stock they bought, indicating that initial investment experiences shape future portfolio decisions.","featured":"2025-05-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Asset Manager Commonality","url":"/papers/ssrn/5231258/","summary":"Asset managers of life insurers impact financial markets, with insurers using the same asset manager having similar portfolios and trades, but the increase in portfolio return correlation is minimal.","featured":"2025-05-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Geographic Shareholder Dispersion and Mutual Fund Flow Risk","url":"/papers/ssrn/5239359/","summary":"The study reveals that euro-area mutual funds with a wider geographic investor base experience more volatile flows, but this doesn't affect net performance due to improved liquidity management.","featured":"2025-05-07","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":33,"scale":"shares"},{"title":"The Allocation of Public Guaranteed Loans to Firms During Covid-19: Credit Risk and Relationship Lending","url":"/papers/ssrn/5239382/","summary":"The research shows that government-guaranteed loans are more likely to be given to safer, liquidity-constrained borrowers who are less likely to face repayment issues after a year.","featured":"2025-05-07","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":25,"scale":"shares"},{"title":"Stock Movement Prediction and Portfolio Optimization","url":"/papers/ssrn/5234375/","summary":"The study introduces a deep learning framework, MR2TNet, to predict NIFTY50 index stock price movements by considering multiple information sources.","featured":"2025-04-30","label":"SSRN","topic":"Portfolio & 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on company assets, indicating the need for extra safe capital to counter losses from physical climate risks.","featured":"2025-04-30","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":9,"scale":"shares"},{"title":"Black-Litterman Model Extension","url":"/papers/ssrn/5226679/","summary":"The Black-Litterman asset allocation model is improved to better reflect market reality by incorporating the normal variance-mean mixture distribution, allowing for skewness, heavy tails, and asymmetric dependence in financial returns.","featured":"2025-04-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"Genetic Asset Management","url":"/papers/ssrn/5223243/","summary":"The article explores the use of genetic algorithms in portfolio management, specifically in single-asset optimization and Genetic Asset Management (GAM).","featured":"2025-04-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Index Sampling Turnover","url":"/papers/ssrn/5225927/","summary":"The research uses algorithms to create replication portfolios, noting that stocks in these portfolios have higher turnover rates than other index constituents.","featured":"2025-04-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Improving Bayesian Optimization for Portfolio Management with an Adaptive Scheduling","url":"/papers/arxiv/2504.13529/","summary":"A new Bayesian optimization framework has been developed to improve black-box portfolio management models, outperforming other models in backtest settings.","featured":"2025-04-23","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":17,"scale":"shares"},{"title":"Universal portfolios in continuous time: an approach in pathwise It\\^o calculus","url":"/papers/arxiv/2504.11881/","summary":"The article explores a simplified approach to continuous-time version of Cover's universal portfolio strategies, confirming the existence and value process of the universal portfolio strategy.","featured":"2025-04-23","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":19,"scale":"shares"},{"title":"Portfolio Choice Mental Framing Effects","url":"/papers/ssrn/5216342/","summary":"The study reveals systematic decision errors in dynamic portfolio choice, highlighting the importance of problem framing and supporting a libertarian paternalistic approach to choice architecture design.","featured":"2025-04-16","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Mutual Funds and Pollution Events","url":"/papers/ssrn/5219194/","summary":"Research indicates that fund managers in areas affected by chemical spills improve their ESG scores by shifting from low to high ESG stocks, suggesting social factors influence portfolio changes.","featured":"2025-04-16","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice","url":"/papers/arxiv/2504.11116/","summary":"The article introduces the Pontryagin-Guided Direct Policy Optimization framework for solving large-scale portfolio optimization problems, capable of handling up to 50 assets and 10 state variables.","featured":"2025-04-16","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":17,"scale":"shares"},{"title":"Market-Based Portfolio Variance","url":"/papers/arxiv/2504.07929/","summary":"A new market-based portfolio variance has been derived, accounting for random trade volumes, which could help portfolio managers and macroeconomic model developers adapt to market realities.","featured":"2025-04-16","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":22,"scale":"shares"},{"title":"European Funds","url":"/papers/ssrn/5206700/","summary":"Research analyzes the efficiency of management in European mutual fund markets, aiming to highlight differences among countries.","featured":"2025-04-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Mutual Fund Skill Compare","url":"/papers/ssrn/5207420/","summary":"Global equity mutual fund and MSCI indices managers show poor market prediction skills, with no significant difference in asset selection abilities.","featured":"2025-04-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Manager Characteristics & Fund Performance","url":"/papers/ssrn/5205143/","summary":"Female mutual fund managers perform equally to male counterparts when considering fund-specific variables, with Ivy League degrees and MBAs improving performance.","featured":"2025-04-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions","url":"/papers/arxiv/2504.05743/","summary":"The article introduces a new risk management framework that uses Bayesian and neural networks for efficient portfolio optimization, based on Common Causal Manifolds.","featured":"2025-04-09","label":"arXiv","topic":"Portfolio & Allocation","cites":7,"score":23,"scale":"shares"},{"title":"Model Combination in Risk Sharing under Ambiguity","url":"/papers/arxiv/2504.02987/","summary":"The research explores optimal risk sharing contracts and wealth processes in situations of uncertainty, using a Spanish automobile insurance portfolio as a case study.","featured":"2025-04-09","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":11,"scale":"shares"},{"title":"CAPM for Strategic Asset Allocation","url":"/papers/ssrn/5195661/","summary":"The paper challenges the standard 50/50 equities and bonds allocation in global passive portfolios, suggesting a CAPM strategic asset allocation portfolio performs slightly better.","featured":"2025-04-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Mutual Fund Performance","url":"/papers/ssrn/5198430/","summary":"The research examines the consistency of equity mutual funds results using historical data, and questions the sufficiency of information given to investors by regulators.","featured":"2025-04-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Listed Real Estate Portfolios","url":"/papers/ssrn/5199935/","summary":"The research reassesses the role of listed real estate as a stand-in for direct real estate, showing that it can match direct real estate's performance and enhance multiasset portfolio returns.","featured":"2025-04-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"Asset Allocation Evolution","url":"/papers/ssrn/5194749/","summary":"The paper traces the development of asset allocation methods, from the traditional MeanVariance Optimization to modern approaches that overcome its shortcomings.","featured":"2025-04-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Pareto-Nash Allocations under Incomplete Information: A Model of Stable Optima","url":"/papers/arxiv/2503.22825/","summary":"A theoretical article examines the social dilemma of conglomerate firms in a Bertrand duopoly, focusing on the importance of a sufficiency condition for maintaining a stable long-term equilibrium.","featured":"2025-04-02","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":15,"scale":"shares"},{"title":"Corporate Bond ETFs Risk Profile","url":"/papers/ssrn/5193084/","summary":"The article reveals that corporate bond ETFs have lower liquidity risk but higher intermediary risk than the bonds they hold, especially for high-yield ETFs and those with less liquid portfolios.","featured":"2025-03-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Labor Income Inequality in the U.S.","url":"/papers/ssrn/5186545/","summary":"The study finds that increased labor income inequality leads to higher savings, firm valuations, and wealth inequality due to varied investment portfolios.","featured":"2025-03-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Dynamic Spending Internal Soft Habit","url":"/papers/ssrn/5194260/","summary":"In consumption-habit ratio models, optimal behavior involves extensive consumption-smoothing and risk-taking, with withdrawal rates usually lower than portfolio returns.","featured":"2025-03-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Bayesian Optimization for CVaR-based portfolio optimization","url":"/papers/arxiv/2503.17737/","summary":"The paper presents new Bayesian Optimization algorithms for portfolio allocation, reducing risk and meeting performance goals, proven through practical examples.","featured":"2025-03-26","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":13,"scale":"shares"},{"title":"Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement","url":"/papers/arxiv/2503.18609/","summary":"The research introduces a two-step method for choosing and weighting assets for index tracking portfolios, resulting in reduced tracking errors and improved return-risk ratios with more assets.","featured":"2025-03-26","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":13,"scale":"shares"},{"title":"Clearing Sections of Lattice Liability Networks","url":"/papers/arxiv/2503.17836/","summary":"A novel mathematical framework has been created to improve comprehension of complex financial networks, offering a unified basis for analyzing systemic risk, resource allocation, and network stability.","featured":"2025-03-26","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":13,"scale":"shares"},{"title":"Tactical Asset Allocation with Regime Detection","url":"/papers/ssrn/5183762/","summary":"A machine learning model is introduced in a paper that enhances tactical asset allocation by predicting future regimes and optimizing portfolio distributions.","featured":"2025-03-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Dynamic Asset Allocation using RL","url":"/papers/ssrn/5185432/","summary":"A reinforcement learning model for asset allocation surpasses both Modern Portfolio Theory and an equally-weighted portfolio in terms of total return and Sharpe ratio.","featured":"2025-03-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Hierarchical Minimum Variance Portfolios: A Theoretical and Algorithmic Approach","url":"/papers/arxiv/2503.12328/","summary":"A new method for portfolio optimization is presented, utilizing hierarchical graph structures and the Schur complement method to decrease computational complexity while maintaining full covariance data.","featured":"2025-03-20","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":12,"scale":"shares"},{"title":"Tactical asset allocation with macroeconomic regime detection","url":"/papers/arxiv/2503.11499/","summary":"The study introduces a new model that applies machine learning for regime modeling in tactical asset allocation, showing significant enhancements in portfolio performance.","featured":"2025-03-20","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":11,"scale":"shares"},{"title":"Optimal Diversification and Leverage in a Utility-Based Portfolio Allocation Approach","url":"/papers/arxiv/2503.07498/","summary":"The study improves portfolio allocation methods by using utility theory and compound probability distributions to extend the maximum expected utility objective.","featured":"2025-03-12","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":9,"scale":"shares"},{"title":"Dynamically Optimal Portfolios for Monotone Mean-Variance Preferences","url":"/papers/arxiv/2503.08272/","summary":"The paper describes the optimal dynamic portfolio choice for the Monotone Mean-Variance utility in asset price models with independent returns, with minimal assumptions.","featured":"2025-03-12","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":9,"scale":"shares"},{"title":"South African Fine Wine Investment","url":"/papers/ssrn/5147349/","summary":"The Top10 South African Fine Wine Index can improve portfolio diversification and risk-adjusted returns, making fine wine a viable asset class.","featured":"2025-03-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":10,"scale":"shares"},{"title":"Mutual Fund Fragility Impact on Market Pricing","url":"/papers/ssrn/5148627/","summary":"Investor flow shocks in prime money market funds can greatly affect commercial paper's primary market pricing and issuance.","featured":"2025-03-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":30,"scale":"shares"},{"title":"Robust & Sparse Portfolio Selection","url":"/papers/ssrn/5147690/","summary":"A new portfolio selection model minimizes estimation errors and overdiversification, with an efficient algorithm developed for its solution.","featured":"2025-03-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"New Class Anomalies: ADE Portfolio","url":"/papers/ssrn/5145529/","summary":"ADE Portfolio: The article introduces a new framework to exploit asset pricing anomalies without depending on traditional long-short portfolio construction, showing high efficiency in cross-sectional pricing.","featured":"2025-03-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":59,"scale":"shares"},{"title":"NetZero Alignment for Portfolios","url":"/papers/ssrn/5146298/","summary":"The net-zero alignment strength (NZAS) metric, based on corporate GHG emissions and reduction rate, can aid socially responsible investors in portfolio selection.","featured":"2025-03-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":18,"scale":"shares"},{"title":"The Role of Deep Learning in Financial Asset Management: A Systematic Review","url":"/papers/arxiv/2503.01591/","summary":"A review of deep learning in financial asset management identifies trends like explainable AI and deep reinforcement learning, suggesting deep learning can enhance portfolio performance and price forecasting.","featured":"2025-03-05","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":18,"scale":"shares"},{"title":"Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets","url":"/papers/arxiv/2503.01148/","summary":"The study shows that AI ETFs and clean energy transmit risk, while AI tokens and green bonds receive risk, with diverse portfolios effectively reducing AI token investment risk.","featured":"2025-03-05","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":11,"scale":"shares"},{"title":"Natural Asset Beta","url":"/papers/arxiv/2502.20706/","summary":"A new theoretical model introduces an asset beta concept for nature, potentially enabling the conversion of natural resources into monetary terms to assist in resource allocation decisions.","featured":"2025-03-05","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":14,"scale":"shares"},{"title":"Corporate Financial Asset Allocation Impact","url":"/papers/ssrn/5134335/","summary":"The research reveals a U-shaped relationship between corporate financial asset allocation and audit fees, influenced by financing constraints and moderated by ownership concentration.","featured":"2025-02-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":26,"scale":"shares"},{"title":"Portfolio Optimization with Normalizing Flows","url":"/papers/ssrn/5134557/","summary":"The combination of normalizing flows and traditional portfolio optimization methods allows for effective risk management and scalability while accounting for nonlinear asset relationships.","featured":"2025-02-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":51,"scale":"shares"},{"title":"Evolution of Portfolios","url":"/papers/ssrn/5124967/","summary":"The article studies the evolution of portfolio management over 70 years, focusing on the challenges of integrating investment signals into optimization frameworks.","featured":"2025-02-19","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":253,"scale":"shares"},{"title":"Enhanced Factor Portfolio Optimization","url":"/papers/ssrn/5122756/","summary":"The paper explores the use of an Enhanced Portfolio Optimization model for factor investors to optimize asset allocation, considering the recent poor performance of the value factor in the US equity market.","featured":"2025-02-19","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":55,"scale":"shares"},{"title":"Mutual Fund Investors and Seeking Alpha","url":"/papers/ssrn/5122654/","summary":"The study shows increased sensitivity to alpha risk and expenses among mutual fund investors from 1991 to 2016, with poor timing in alpha-chasing proving harmful to most investors.","featured":"2025-02-19","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":17,"scale":"shares"},{"title":"Portfolio Optimization","url":"/papers/ssrn/5127391/","summary":"The paper presents a unified framework for portfolio optimization, combining traditional Mean-Variance analysis with additional risk constraints for robust investment strategies.","featured":"2025-02-19","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":108,"scale":"shares"},{"title":"A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization","url":"/papers/arxiv/2502.11701/","summary":"A new asset selection method for mean-variance portfolios has been proposed, allowing for quicker optimization and construction of portfolios with fewer assets.","featured":"2025-02-19","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":5,"scale":"shares"},{"title":"Enhanced Emerging Market Portfolio Performance","url":"/papers/repec/spr-fininn-v-11-y-2025-i-1-d-10-1186-s40854-025-00754-3/","summary":"A second-generation Automated Adaptive Trading System could help stabilize emerging markets during downturns, addressing challenges posed by algorithmic trading and passive investing.","featured":"2025-02-19","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":27,"scale":"shares"},{"title":"Portfolio Optimization with Risk Parity","url":"/papers/repec/bla-jtsera-v-46-y-2025-i-2-p-353-377/","summary":"A new risk parity portfolio optimization method considers fat-tailed and heteroscedastic asset returns, reducing portfolio turnover during market turmoil and enhancing risk-adjusted returns.","featured":"2025-02-19","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Mutual Funds & Cross-Market Bond Pricing","url":"/papers/ssrn/5116105/","summary":"Mutual funds in the municipal bond market affect cross-market pricing, with bonds sensitive to the stock market showing higher yield spreads due to potential sales induced by fund flows.","featured":"2025-02-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":20,"scale":"shares"},{"title":"Risk Parity Optimization","url":"/papers/ssrn/5097869/","summary":"The work introduces a new method for risk parity portfolio optimization, allowing for constraints on risk contribution and supporting diversified long-short portfolios.","featured":"2025-02-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":112,"scale":"shares"},{"title":"Portfolio Construction: Low Risk High Variability","url":"/papers/ssrn/5105457/","summary":"Low Risk High Variability: Research indicates that stocks with less volatility yield higher returns, with portfolio construction and transaction costs significantly impacting low-risk portfolio performance.","featured":"2025-02-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":182,"scale":"shares"},{"title":"Currency Markets: Portfolio Inertia vs Expected Returns","url":"/papers/ssrn/5107382/","summary":"Portfolio Inertia vs Expected Returns: Expected excess returns in currency markets can result from portfolio adjustment costs, not just risk premiums, as evidenced in data from nine inflation-targeting economies with floating exchange rates.","featured":"2025-02-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":15,"scale":"shares"},{"title":"Financial instability transition under heterogeneous investments and portfolio diversification","url":"/papers/arxiv/2501.19260/","summary":"Financial investment network stability is affected by portfolio diversification and investment variety, with diversification's impact varying based on the network's connectivity.","featured":"2025-02-05","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":24,"scale":"shares"},{"title":"Covariance Matrix Shrinkage","url":"/papers/repec/eee-ecmode-v-144-y-2025-i-c-s0264999324003389/","summary":"The study suggests an optimal shrinkage intensity selection for the linear shrinkage estimator family, which results in more stable covariance matrix estimators and improves global minimum-variance portfolios.","featured":"2025-02-05","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":12,"scale":"shares"},{"title":"A Study on Performance of Financial and Technology Sectors in Mutual Funds","url":"/papers/ssrn/5103641/","summary":"The research assesses the performance of two key FinTech mutual funds in India, highlighting the importance of selecting profitable funds for investment.","featured":"2025-01-23","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":10,"scale":"shares"},{"title":"Bank Deposits vs. Money Market Mutual Funds","url":"/papers/ssrn/5102030/","summary":"The research suggests that competition from U.S. money market mutual funds could affect the availability of bank loans.","featured":"2025-01-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":13,"scale":"shares"},{"title":"Financial Supervision & Risk Contagion in China","url":"/papers/ssrn/5101494/","summary":"The study finds that China's new asset management regulations significantly reduce the risk of intercompany contagion.","featured":"2025-01-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":10,"scale":"shares"},{"title":"The Micro-Determinants of Portfolio Gyrations in Mutual Funds: Evidence From Machine Learning Models","url":"/papers/ssrn/5103683/","summary":"The research explores what influences portfolio changes in emerging market equity mutual funds, highlighting firm size, investment features, and stock attributes as key factors, with their significance changing based on market conditions and investment strategies.","featured":"2025-01-23","label":"SSRN","topic":"Portfolio & 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using a continuous-time estimator for drift parameters.","featured":"2025-01-08","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Stock Market Rebalancing","url":"/papers/ssrn/5080459/","summary":"The article suggests that annual rebalancing of index funds could improve returns by 40 bps per year, due to adverse selection costs from changes in the stock market composition.","featured":"2025-01-08","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Synthetic data for portfolios: a throw of the dice will never abolish chance","url":"/papers/arxiv/2501.03993/","summary":"The paper highlights the shortcomings of generative models in finance, suggesting a method for generating multivariate returns that meets standard evaluations and aligns with observed asset returns.","featured":"2025-01-08","label":"arXiv","topic":"Portfolio & 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institutional holders in the target company, resulting in increased shareholder attention, votes, and success.","featured":"2024-11-27","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Mutual Fund Characteristics in Portugal","url":"/papers/repec/eme-sefpps-sef-07-2023-0441/","summary":"The article analyzes the performance of Portuguese mutual funds, finding that fund age and total expense ratios significantly impact domestic equity fund performance.","featured":"2024-11-20","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":13,"scale":"shares"},{"title":"Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation","url":"/papers/arxiv/2411.06640/","summary":"The study presents a new model to analyze large losses from credit portfolio defaults using the Archimedean copula family and two algorithms that improve traditional Monte Carlo methods.","featured":"2024-11-13","label":"arXiv","topic":"Portfolio & Allocation","cites":8,"score":3,"scale":"shares"},{"title":"Portfolio Optimization Clustering","url":"/papers/repec/eee-ecosta-v-32-y-2024-i-c-p-1-16/","summary":"The article suggests a new investment strategy using clustering techniques to minimize assets in a portfolio, potentially outperforming traditional equal weight portfolios.","featured":"2024-11-06","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":21,"scale":"shares"},{"title":"Asset Allocation","url":"/papers/ssrn/4993934/","summary":"An article suggests that dynamic asset allocation, which adjusts based on expected returns and risk, may be more beneficial than static allocation, as supported by academic research.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Female Financial Portfolio Choices and Marital Laws","url":"/papers/ssrn/4994123/","summary":"In Spain, married couples with separate property tend to have riskier financial portfolios than those with community property, particularly when the wife manages the finances, due to high divorce costs.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Leverage Corrections to Price Discovery Measures With an Application to Leveraged Exchange-Traded Funds","url":"/papers/ssrn/4993940/","summary":"New measures introduced in a study show that regular ETFs dominate the price discovery process for the SP 500 index, correcting the leverage bias.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Mutual Funds & Low-Risk Anomaly","url":"/papers/ssrn/4993876/","summary":"Mutual funds' demand pressure on high-beta assets following market changes leads to overpricing and lower expected returns, causing the low-risk anomaly in stock returns.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Mathematical Statistics in Engineering","url":"/papers/ssrn/4989144/","summary":"The paper presents a cascaded machine learning algorithm for resource allocation and power usage in cognitive radio networks, emphasizing on energy efficiency, fairness, and spectrum utilization.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Intelligent Forecasts in Portfolio Optimization","url":"/papers/ssrn/4994190/","summary":"The study proposes an optimization framework for the top 500 U.S. stocks, emphasizing the use of characteristic information for stable weights and consistent outperformance.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Sustainable Fund Flows Comparison","url":"/papers/ssrn/4989575/","summary":"An analysis of over 23,000 equity mutual funds and ETFs reveals that self-declared sustainability statements in fund prospectuses drive retail and institutional fund flows more than external sustainability ratings.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":22,"scale":"shares"},{"title":"Retail Investor Attention and Fund Performance","url":"/papers/ssrn/4992233/","summary":"A metric called Total Views, which measures retail investor attention to mutual funds, can predict retail fund flows and performance, with high-performing funds attracting more inflows.","featured":"2024-10-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Delegated Portfolio Management With Random Default","url":"/papers/arxiv/2410.13103/","summary":"The paper explores the optimal portfolio delegation between an investor and a portfolio manager in the event of a random default time, using mathematical methods and a deep-learning algorithm to study investment decisions and compensation structures.","featured":"2024-10-23","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Metaalgorithm for Portfolio Selection","url":"/papers/repec/taf-tjorxx-v-75-y-2024-i-10-p-2032-2051/","summary":"The article discusses the use of Online Gradient Update and Online Newton Update meta-algorithms in online portfolio selection, showing they can reduce risk and improve price prediction.","featured":"2024-10-23","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":19,"scale":"shares"},{"title":"Sustainable Investments Optimization","url":"/papers/repec/spr-annopr-v-341-y-2024-i-2-d-10-1007-s10479-024-06189-w/","summary":"A new portfolio optimization approach is developed, incorporating environmental, social responsibility, and corporate governance aspects, providing an efficient alternative to large-scale covariance matrix estimation.","featured":"2024-10-23","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":18,"scale":"shares"},{"title":"Delegated Portfolio Management","url":"/papers/ssrn/4984811/","summary":"The research focuses on optimal portfolio delegation in a random default time scenario, creating a theoretical model to analyze the investment process and portfolio manager's decisions.","featured":"2024-10-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"Machine Learning in Portfolios","url":"/papers/ssrn/4988124/","summary":"The article explores the use of machine learning in finance, specifically in portfolio management, discussing its current drawbacks and potential future developments.","featured":"2024-10-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":8,"scale":"shares"},{"title":"Portfolio Optimization","url":"/papers/ssrn/4985873/","summary":"The research explores portfolio optimization in a generalized lifecycle model, where an individual manages a portfolio to maximize consumption, death benefit, and terminal wealth.","featured":"2024-10-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Predicting Policy Funding Allocation with Machine Learning","url":"/papers/ssrn/4978681/","summary":"The paper applies Machine Learning techniques to predict the beneficiaries of EU development funding in Italy, providing insights into fund allocation and aiding in policy design.","featured":"2024-10-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":10,"scale":"shares"},{"title":"Black-Litterman Model for Risk Factor Views","url":"/papers/ssrn/4976695/","summary":"The paper presents an extended Black-Litterman model that allows fund managers to apply their subjective views to risk factors, simplifying the portfolio allocation process.","featured":"2024-10-09","label":"SSRN","topic":"Portfolio & 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performance.","featured":"2024-10-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":7,"scale":"shares"},{"title":"Political Connections and Stock Returns","url":"/papers/ssrn/4971541/","summary":"Research indicates that political connections at the firm level significantly affect stock returns through institutional demand, with mutual funds reducing holdings of politically connected stocks.","featured":"2024-10-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Modern Portfolio Diversification with Arte-Blue Chip Index","url":"/papers/arxiv/2409.18816/","summary":"The article introduces the Arte-Blue Chip Index, showing that a diversified portfolio with a 20% allocation of blue-chip art can increase risk-adjusted returns by approximately 20%.","featured":"2024-10-03","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Portfolio optimisation: Bridging the gap between theory and practice","url":"/papers/arxiv/2407.00887/","summary":"The article suggests a two-stage framework for improving quantitative investing, considering practical issues and new features like futures contracts and borrowing costs.","featured":"2024-10-03","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":61,"scale":"shares"},{"title":"A Krasnoselskii-Mann Proximity Algorithm for Markowitz Portfolios with Adaptive Expected Return Level","url":"/papers/arxiv/2409.13608/","summary":"The paper introduces a new method for portfolio optimization that simultaneously adjusts the return level and the portfolio, making it easier to adapt to the fluctuating financial market.","featured":"2024-09-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Consistent estimation of the high-dimensional efficient frontier","url":"/papers/arxiv/2409.15103/","summary":"The paper uses random matrix theory to study the asymptotic behavior of the mean-variance efficient frontier, finding that two out of three key quantities are biased and overestimated in high-dimensional asymptotic conditions.","featured":"2024-09-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"AI vs Naive Portfolio","url":"/papers/ssrn/4954881/","summary":"A study found that Google's Gemini 1.5 Flash language model does not significantly outperform basic portfolios or the S&P 500 index in making investment decisions.","featured":"2024-09-18","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Dynamic Portfolio Selection with Factors","url":"/papers/repec/eee-dyncon-v-167-y-2024-i-c-s0165188924001155/","summary":"A new system of factor models, which considers both return and risk, has been introduced and has shown superior performance in predicting future investment prospects compared to standard policies.","featured":"2024-09-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":15,"scale":"shares"},{"title":"Reinforcement Machine Learning for Portfolio Optimization","url":"/papers/repec/wsi-wschap-9781800615212-0010/","summary":"The chapter discusses the application of reinforcement machine learning and quadratic optimization in determining risk limits and investment portfolios, especially during the 2007-2009 financial crisis.","featured":"2024-09-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":31,"scale":"shares"},{"title":"ML in Portfolio Management","url":"/papers/repec/wsi-wschap-9781800615212-0001/","summary":"Despite limitations, reinforcement learning is transforming portfolio management in the finance sector.","featured":"2024-09-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":29,"scale":"shares"},{"title":"Reinforcement Learning for Allocation","url":"/papers/repec/wsi-wschap-9781800615212-0003/","summary":"Reinforcement learning, particularly deep reinforcement learning algorithms, can solve complex portfolio problems by determining investment shares in assets.","featured":"2024-09-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":25,"scale":"shares"},{"title":"RiskFree Zero-Beta Portfolios: UK and US","url":"/papers/ssrn/4949856/","summary":"UK and US: A study reveals that a risk-free portfolio, including gold, T-bills, silver, platinum, and palladium, doesn't always equate to a zero-beta portfolio, based on UK and US data.","featured":"2024-09-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"AI vs Naive Portfolio","url":"/papers/ssrn/4948589/","summary":"A study found that Google's Gemini 1.5 Flash language model does not outperform a basic portfolio or the S&P 500 index in making investment decisions.","featured":"2024-09-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":10,"scale":"shares"},{"title":"SelfIndexed ETFs","url":"/papers/ssrn/4943383/","summary":"Self-indexed ETFs often charge higher fees than public-index ETFs due to potential conflicts of interest, especially when the issuers also provide wealth management services.","featured":"2024-09-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Mutual Fund Networks","url":"/papers/ssrn/4943849/","summary":"Mutual fund managers' tunnel vision towards forecasts from connected analysts can negatively affect their trading performance due to exposure to these analysts' biases.","featured":"2024-09-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Sparse spanning portfolios and under-diversification with second-order stochastic dominance","url":"/papers/arxiv/2402.01951/","summary":"A new method for estimating sparse second-order stochastic spanning suggests no advantage in expanding a sparse opportunity set beyond 45 assets, with the best sparse portfolio investing in 10 sectors.","featured":"2024-09-05","label":"arXiv","topic":"Portfolio & Allocation","cites":15,"score":6,"scale":"shares"},{"title":"Global Market Portfolio","url":"/papers/ssrn/4937996/","summary":"A study of a $150 trillion global market portfolio from 1970-2022 shows it is more stable than equities, despite a similar Sharpe ratio, with risks appearing larger in non-U.S. currencies.","featured":"2024-08-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":34,"scale":"shares"},{"title":"Mutual Fund Fees","url":"/papers/ssrn/4937292/","summary":"A study on Chinese mutual fund companies shows that the ownership structure impacts the management fee ratios, with different types of shareholders affecting the fees differently.","featured":"2024-08-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Solving Markowitz Portfolio Optimization","url":"/papers/ssrn/4939293/","summary":"The Markowitz portfolio optimization problem, which balances risk and return, can be solved using various methods including Quadratic Programming, Gradient Descent, Newton's Method, and Machine Learning techniques.","featured":"2024-08-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Earnings Forecasting and Mean-Variance Efficient Portfolios in the United States","url":"/papers/ssrn/4933869/","summary":"A study confirms the continued effectiveness of a 1993 financial engineering model, outperforming equity benchmarks from 2000-2022.","featured":"2024-08-28","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Machine Learning for Optimal Portfolio","url":"/papers/ssrn/4932041/","summary":"The article suggests a numerical method that merges different techniques to improve the estimation of the optimal portfolio.","featured":"2024-08-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Alternative Data in Active Asset Management","url":"/papers/ssrn/4932677/","summary":"Alternative data is vital for investment strategies, providing unique insights and competitive advantages, but requires constant adaptation due to its ever-changing nature.","featured":"2024-08-21","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":4,"scale":"shares"},{"title":"The mean-variance portfolio selection based on the average and current profitability of the risky asset","url":"/papers/arxiv/2408.07969/","summary":"The research introduces two new indexes for optimal portfolio selection in fluctuating financial markets, proving their superior accuracy and performance in both simulated and real markets.","featured":"2024-08-21","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"On Accelerating Large-Scale Robust Portfolio Optimization","url":"/papers/arxiv/2408.07879/","summary":"The paper presents an extended approach to solve large-scale robust portfolio optimization problems, showing robust trading performance and significantly reduced computational time.","featured":"2024-08-21","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":6,"scale":"shares"},{"title":"Corporate Financial Asset Allocation Audit Fee Impact","url":"/papers/ssrn/4925896/","summary":"The research shows that audit fees increase when corporate financial asset allocation reaches a certain level due to the crowding-out effect.","featured":"2024-08-15","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Predicting High-Alpha Fund Holdings","url":"/papers/ssrn/4924423/","summary":"Machine learning can predict the stocks held by successful mutual fund managers more accurately than other methods, with past ownership, market cap, and volume being key factors.","featured":"2024-08-15","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement","url":"/papers/arxiv/2408.07271/","summary":"The Concentration Risk Indicator (CRI) is a new tool designed to assess risks associated with concentrated portfolios, useful in areas such as insurance risk and product portfolio mixes, especially where wealth is concentrated in few tokens.","featured":"2024-08-15","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":4,"scale":"shares"},{"title":"Optimizing Portfolio with Two-Sided Transactions and Lending: A Reinforcement Learning Framework","url":"/papers/arxiv/2408.05382/","summary":"A new portfolio management model based on Reinforcement Learning has been created for high-risk environments, combining a new environmental formulation with a Profit and Loss-based reward function, proving effective in managing risk and maintaining profitability in volatile markets like cryptocurrency.","featured":"2024-08-15","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Optimal Bonds Portfolio P-world","url":"/papers/repec/taf-quantf-v-24-y-2024-i-7-p-875-888/","summary":"The research establishes arbitrage-free conditions for a parametric yield curve in the P-world and presents a bonds-portfolio optimization as a stochastic control problem.","featured":"2024-08-15","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":14,"scale":"shares"},{"title":"Mutual Funds and Asset Pricing Anomalies","url":"/papers/ssrn/4918275/","summary":"The anomalies in stock returns, specifically low-risk and momentum, are due to demand pressure from mutual funds, especially those with high-beta assets.","featured":"2024-08-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Analyzing Marginal Sharpe Ratio","url":"/papers/ssrn/4916095/","summary":"The Marginal Sharpe Ratio (MSR) of an investment strategy considers the new strategy's impact on the portfolio's expected returns and the expected change in the portfolio risk profile due to diversification.","featured":"2024-08-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Mutual Fund Ownership in China","url":"/papers/ssrn/4917594/","summary":"A study finds that the identity of shareholders in Chinese fund management companies affects mutual fund returns, with foreign shareholders reducing returns and government control increasing them.","featured":"2024-08-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Mutual Fund Returns","url":"/papers/ssrn/4915104/","summary":"Research shows no significant difference in mutual fund returns during earnings season compared to non-earnings season, indicating other factors are more influential.","featured":"2024-08-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Chinese Mutual Funds","url":"/papers/ssrn/4914627/","summary":"A study on Chinese mutual funds reveals a significant positive risk premium, with lottery preferences accounting for nearly 40% of this premium, impacting investor decisions and risk regulation.","featured":"2024-08-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets","url":"/papers/arxiv/2408.03134/","summary":"The article reexamines quadratic and linear mean-variance equilibria, providing conditions for the existence and uniqueness of these equilibria in both discrete and continuous time.","featured":"2024-08-07","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":5,"scale":"shares"},{"title":"Portfolio Optimization Variable Selection","url":"/papers/ssrn/4908763/","summary":"Machine learning can identify variables for optimal portfolio choice, improving portfolio performance and reducing risk, particularly when nonlinear terms are included.","featured":"2024-07-31","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Quantitative Tightening and Slow-Moving Capital","url":"/papers/ssrn/4908569/","summary":"The paper studies changes in investor behavior during quantitative tightening, indicating that investors adjust their portfolios at different rates, and forecasts an overshooting pattern when the central bank stops its bond purchase due to slow adjustment by long-term investors.","featured":"2024-07-31","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"AI Resource Allocation in Cloud Computing","url":"/papers/ssrn/4908420/","summary":"AI techniques like machine learning and deep learning can create predictive algorithms for resource allocation in cloud systems, improving service quality and reducing costs by achieving better resource utilization and fewer service quality violations.","featured":"2024-07-31","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Optimal Trend Portfolios","url":"/papers/ssrn/4908749/","summary":"The paper demonstrates that a portfolio based on trend-following signal outperforms in cross-asset trading.","featured":"2024-07-31","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Set risk measures","url":"/papers/arxiv/2407.18687/","summary":"The study presents set risk measures, which extend traditional risk measures to sets of random variables, and establishes an axiom scheme for them, demonstrating their use in systemic risk, portfolio optimization, and decision-making under uncertainty.","featured":"2024-07-31","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":2,"scale":"shares"},{"title":"On the Separability of Vector-Valued Risk Measures","url":"/papers/arxiv/2407.16878/","summary":"The study argues that convex vector-valued risk measures are not suitable for defining capital allocation rules in multi-asset markets for a variety of financial applications, including systemic risk measures.","featured":"2024-07-31","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":3,"scale":"shares"},{"title":"Idiosyncratic Contagion in ETFs","url":"/papers/ssrn/4904298/","summary":"The research investigates the return spillovers between ETFs and stocks, revealing an industry pattern and emphasizing the importance of careful supervision during periods of high market volatility.","featured":"2024-07-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"Out-of-Sample Portfolio Returns","url":"/papers/ssrn/4899487/","summary":"The paper presents a stochastic representation for the joint distribution of the out-of-sample mean and variance of portfolio rules, providing a toolkit for assessing portfolio performance and creating improved rules.","featured":"2024-07-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Risk Aversion Calibration for Pension Allocation","url":"/papers/ssrn/4898823/","summary":"The research suggests a method to gauge an investor's risk aversion using actual asset allocation, calibrating a risk aversion parameter and exploring differences across financial categories.","featured":"2024-07-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Pricing in Securities Lending Market: Application in Revenue Optimization for an Agent Lender Portfolio","url":"/papers/arxiv/2407.13687/","summary":"The research indicates that existing contextual bandit frameworks can be effectively used in the securities lending market, generating at least 15% more total revenue than standard methods.","featured":"2024-07-24","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":23,"scale":"shares"},{"title":"Weak convergence implies convergence in mean within GGC","url":"/papers/arxiv/2407.15105/","summary":"The research shows that weak convergence in generalized gamma convolution distributions implies mean value convergence, proving the robustness of the optimal portfolio under exponential utility function with hyperbolic distributions.","featured":"2024-07-24","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":3,"scale":"shares"},{"title":"Counter-monotonic risk allocations and distortion risk measures","url":"/papers/arxiv/2407.16099/","summary":"The paper studies efficient risk sharing in markets with counter-monotonic constraints, characterizing optimal allocations for different types of agents and confirming risk-seeking agents tend to invest more in risky assets.","featured":"2024-07-24","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":3,"scale":"shares"},{"title":"Explainable post hoc portfolio management financial policy of a Deep Reinforcement Learning agent","url":"/papers/arxiv/2407.14486/","summary":"A new Explainable Deep Reinforcement Learning (XDRL) method for portfolio management has been developed, combining Proximal Policy Optimization with explainable techniques for better transparency in investment predictions.","featured":"2024-07-24","label":"arXiv","topic":"Portfolio & Allocation","cites":16,"score":17,"scale":"shares"},{"title":"Portfolio Allocation with Graphical Lasso","url":"/papers/repec/oup-jfinec-v-22-y-2024-i-3-p-670-695/","summary":"The Factor Graphical Lasso (FGL) framework, which combines graphical models with the factor structure, consistently estimates portfolio weights and risk exposure, and outperforms several key competitors in portfolio allocation.","featured":"2024-07-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":11,"scale":"shares"},{"title":"Brazilian Mutual Funds Evaluation","url":"/papers/repec/eme-ijoemp-ijoem-01-2021-0153/","summary":"Three- or five-factor models can minimize market anomalies in equity mutual fund performance evaluation, with conditional methods offering more explanation.","featured":"2024-07-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":14,"scale":"shares"},{"title":"Egyptian Mutual Funds Industry Concentration","url":"/papers/ssrn/4895263/","summary":"The paper examines the competitiveness of the Egyptian mutual funds industry from 2018-2023, concluding that it was mostly unconcentrated except for the bond mutual funds submarket.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Missing Data Bias in Fund Portfolio Data","url":"/papers/ssrn/4897330/","summary":"The paper warns of bias in commercial databases due to nonrandom portfolio reporting, which can lead to skewed conclusions in fund literature.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Geometric Insights on Portfolio Construction","url":"/papers/ssrn/4894874/","summary":"The article argues that the equally weighted portfolio is usually less preferable than the mean-variance portfolio, based on the influence of the covariance matrix's condition number on the αweight angle in portfolio optimizations.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Dual Dominance","url":"/papers/ssrn/4894394/","summary":"The article explores the relationship between the Markowitz mean-variance model and the Ziemba capital growth model, offering insights into model-based portfolio construction.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"CNN2D-MV Stock Model","url":"/papers/ssrn/4895067/","summary":"The article introduces a hybrid model that combines a 2D convolutional neural network with the mean-variance model to improve asset selection and portfolio performance.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Smarter Beta Investing","url":"/papers/ssrn/4894322/","summary":"The article suggests integrating sustainable factors into traditional investing methods without affecting financial performance or diversification, and offers ways to correct sustainable bias in traditional long-short MSCI style factor portfolios.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Humanising Portfolio Selection","url":"/papers/ssrn/4894460/","summary":"The paper proposes a unified approach to active portfolio selection, demonstrating how investor subjectivity can improve portfolio performance.","featured":"2024-07-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Mean-Variance Optimization for Participating Life Insurance Contracts","url":"/papers/arxiv/2407.11761/","summary":"The study provides formulas for optimal wealth and strategy for equity holders in life insurance contracts, suggesting increased risky investments during poor economic conditions.","featured":"2024-07-17","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":4,"scale":"shares"},{"title":"Optimal Portfolio Uncertainty","url":"/papers/ssrn/4886000/","summary":"A study recommends removing assets before calculating portfolio weights to best mitigate estimation risk in portfolio selection, outperforming other sparse methods.","featured":"2024-07-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"Offshore Funds Alpha Generation","url":"/papers/ssrn/4889900/","summary":"Offshore-domiciled European mutual funds in Ireland or Luxembourg outperform onshore ones due to more active management and a more sophisticated investor base.","featured":"2024-07-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Private Equity and Digital Transformation","url":"/papers/ssrn/4885664/","summary":"Private equity investment boosts digital technology investments in portfolio firms, especially when investors are digitally savvy, narrowing the digital investment gap between public and private firms.","featured":"2024-07-10","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Longitudinal market structure detection using a dynamic modularity-spectral algorithm","url":"/papers/arxiv/2407.04500/","summary":"The study presents the Dynamic Modularity-Spectral Algorithm (DynMSA) for identifying stock clusters, uncovering hidden market structures and enhancing portfolio allocation, specifically applied to the S&P 500 constituents.","featured":"2024-07-10","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Beating Targets in Strategic Portfolios","url":"/papers/repec/spr-fininn-v-10-y-2024-i-1-d-10-1186-s40854-023-00601-3/","summary":"The article presents a method to calculate the likelihood of reaching a specific profitability goal with strategic portfolios requiring regular rebalancing, based on data from 2004 to 2021.","featured":"2024-07-10","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Multi-Level Optimisation for Loan Portfolios","url":"/papers/repec/ids-ijicbm-v-32-y-2024-i-2-p-164-186/","summary":"The paper introduces a model for optimizing loans across four retail asset classes, considering regulatory and capital constraints, and compares the optimized portfolio to the original for potential benefits.","featured":"2024-07-10","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":20,"scale":"shares"},{"title":"Net Foreign Portfolio Inflows in Nigeria","url":"/papers/ssrn/4865454/","summary":"Higher interest rates in Nigeria can boost net portfolio inflows and potentially stabilize the exchange rate, but this depends on the Central Bank's ability to manage foreign exchange.","featured":"2024-06-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Insurable Risk Portfolios with Data Uncertainty","url":"/papers/ssrn/4868623/","summary":"The paper suggests that data uncertainty in investments is not a significant issue in insurance, using an insurance version of the Markowitz portfolio optimization procedure.","featured":"2024-06-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Mutual Funds Securities Lending: Value vs. Volume","url":"/papers/ssrn/4867141/","summary":"Value vs. Volume: The study reveals that mutual funds with higher volume lending strategies generate more revenue, using securities lending patterns to identify shorting demand.","featured":"2024-06-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Should Your Stock Portfolio Consider Your Career?","url":"/papers/ssrn/4864198/","summary":"A study shows that including nontradable wealth like human capital in portfolio optimization reduces risk and improves returns, based on data from 263 US firms from 2013 to 2022.","featured":"2024-06-20","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Mutual Fund Risk Shifts","url":"/papers/ssrn/4866357/","summary":"The study investigates the impact of star ratings on mutual fund managers' risk-taking behavior, showing that managers adjust risk levels based on potential rating changes, leading to potential agency issues and increased managerial effort.","featured":"2024-06-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients","url":"/papers/arxiv/2406.10465/","summary":"The study offers solutions to an optimal investment-reinsurance problem for insurers under a specific model, using a system of complex mathematical equations.","featured":"2024-06-20","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Dynamic asset allocation with asset-specific regime forecasts","url":"/papers/arxiv/2406.09578/","summary":"The article introduces a new framework that enhances multi-asset portfolio construction by creating custom regime forecasts for each asset, proven effective through a practical study on a multi-asset portfolio.","featured":"2024-06-20","label":"arXiv","topic":"Portfolio & Allocation","cites":23,"score":9,"scale":"shares"},{"title":"Project Portfolio Selection with Risk Preference","url":"/papers/ssrn/4857345/","summary":"A divisible project portfolio selection model has been developed to help businesses select the right project portfolio and achieve strategic goals, considering risk preference and maximum net present value.","featured":"2024-06-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Markowitz Model","url":"/papers/ssrn/4859002/","summary":"The Markowitz model is a useful tool for selecting investment portfolios that outperform market indices, offering larger returns with lower risk.","featured":"2024-06-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Rhetorical Engineering for Portfolio Construction","url":"/papers/ssrn/4859036/","summary":"Rhetorical engineering, which uses identity, emotion, and intention, can significantly alter a client's perception of a company's strengths and weaknesses, thereby influencing their choice of companies for portfolio inclusion.","featured":"2024-06-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Economic Value of Mean Squared Error","url":"/papers/ssrn/4856139/","summary":"The mean squared error (MSE) is a useful statistical loss function in portfolio selection, even though it is often used in decision problems with different loss functions.","featured":"2024-06-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Inquiring the Extent of Contagion Risks of the Corporate Bonds on the Malawian Financial Holding Companies Subscribed Through Their Subsidiaries Licensed as Portfolio Managers","url":"/papers/ssrn/4862076/","summary":"The study exposes financial risks in Malawian holdings due to unregulated corporate bonds and flawed accounting practices.","featured":"2024-06-12","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Machine Learning for ETF Forecast","url":"/papers/repec/kap-compec-v-63-y-2024-i-5-d-10-1007-s10614-023-10385-4/","summary":"Machine learning can predict exchange traded funds returns, with some models surpassing the buy & hold strategy.","featured":"2024-06-12","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":22,"scale":"shares"},{"title":"Market Efficiency and Capital Allocation","url":"/papers/ssrn/4853306/","summary":"The study reveals a positive and significant impact of market efficiency on capital allocation efficiency in decentralized crypto asset exchanges.","featured":"2024-06-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Natural Disasters and Global Portfolio Flows","url":"/papers/ssrn/4849158/","summary":"The study shows that local natural disasters significantly influence global portfolio flows, leading to a reduction in net flows to equity mutual funds in affected countries, especially those with high climate risk exposure.","featured":"2024-06-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"The Performance of Household-held Mutual Funds: Evidence from the Euro Area","url":"/papers/ssrn/4849419/","summary":"A study from 2009 to 2020 shows that Euro-area households prefer pricier, lower risk-adjusted return mutual funds, particularly equity funds, and tend to follow past returns.","featured":"2024-06-05","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Portfolio Diversification Measures","url":"/papers/ssrn/4840399/","summary":"The article suggests a new portfolio diversification measure, built from any given risk measure, that meets standard theoretical properties for portfolio diversification.","featured":"2024-05-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"The impact of Methodological choices on Machine Learning Portfolios","url":"/papers/ssrn/4837337/","summary":"The research examines how research design choices can significantly influence the profitability of Machine learning investment strategies.","featured":"2024-05-28","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"A Geometric Approach to Asset Allocation with Investor Views","url":"/papers/ssrn/4840636/","summary":"The article introduces a geometric method for incorporating investor views in portfolio construction, offering more flexibility than traditional Black-Litterman model-based approaches.","featured":"2024-05-28","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":10,"scale":"shares"},{"title":"DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction","url":"/papers/arxiv/2405.15833/","summary":"The paper showcases Direct Sorted Portfolio Optimization (DSPO), a framework using neural networks to process stock data and construct sorted portfolios, proven effective on various markets.","featured":"2024-05-28","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Role of Oil and Gold in Portfolio Optimization","url":"/papers/repec/eee-jrpoli-v-92-y-2024-i-c-s0301420724003246/","summary":"The study reveals gold as a more effective hedge than oil for Pakistani stocks, particularly after COVID-19, and advises investors to diversify their portfolios.","featured":"2024-05-28","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Single-stage Portfolio Optimization with Automated Machine Learning for M6","url":"/papers/ssrn/4836123/","summary":"The M6 forecasting competition paper introduces a data-driven approach that directly optimizes portfolio weights, achieving a 9.5 global rate of return and an information ratio of 5.045.","featured":"2024-05-22","label":"SSRN","topic":"Portfolio & Allocation","cites":7,"score":3,"scale":"shares"},{"title":"Interim Valuations in Private Equity","url":"/papers/ssrn/4834758/","summary":"The history of valuations, including staleness and markdown frequency, can predict the future performance of portfolio companies in U.S. buyout and VC investments.","featured":"2024-05-22","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Portfolio Management with Python","url":"/papers/ssrn/4832315/","summary":"The lecture notes discuss portfolio management, highlighting the use of Python for practical applications and the importance of understanding different types of returns for accurate performance assessment.","featured":"2024-05-22","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":502,"scale":"shares"},{"title":"MeanVariance Efficient Portfolios","url":"/papers/ssrn/4831997/","summary":"A 1992 study found that a composite model of financial variables outperformed equity benchmarks by 400 basis points annually, a finding later confirmed by Markowitz and Xu in 1994.","featured":"2024-05-22","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":92,"scale":"shares"},{"title":"Future Value of Mutual Fund Investments","url":"/papers/ssrn/4829431/","summary":"The paper suggests that mutual fund investment forecasts are best presented in currency terms and that the precision of past and predicted values can help analyze sampling errors.","featured":"2024-05-22","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":56,"scale":"shares"},{"title":"Common Advisor Effect in Allocations","url":"/papers/ssrn/4822200/","summary":"The study reveals that pension funds with the same asset manager or actuary tend to make similar asset allocation decisions, which may not align with their unique characteristics or sophistication level.","featured":"2024-05-15","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)","url":"/papers/ssrn/4824172/","summary":"The study investigates the success of an intraday momentum strategy on SPY, an ETF tracking the SP500, which resulted in a 1985 total return from 2007 to 2024.","featured":"2024-05-15","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":1012,"scale":"shares"},{"title":"Determinants of Bank Performance: Evidence from Replicating Portfolios","url":"/papers/ssrn/4822187/","summary":"A new bank performance metric reveals that structural issues like cost inefficiencies primarily cause underperformance, with high-performing banks being less dependent on government aid and more shock-resistant.","featured":"2024-05-15","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":4,"scale":"shares"},{"title":"Sharper Than Sharpe: A New Portfolio Measure","url":"/papers/ssrn/4823752/","summary":"A novel portfolio measure of risk-adjusted excess returns is introduced, which views any negative impact on compound return as risk, addressing some criticisms of the Sharpe ratio.","featured":"2024-05-15","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"Foreign Signals and Stock Prices","url":"/papers/ssrn/4823092/","summary":"Machine learning algorithms can predict daily U.S. stock returns based on foreign market signals, with a portfolio based on these predictions yielding abnormal returns of 5.77 basis points daily.","featured":"2024-05-15","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":15,"scale":"shares"},{"title":"Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization","url":"/papers/ssrn/4825814/","summary":"The research compares the effects of integrating credit risk and interest rate risk in bond portfolio optimization with traditional risk measures, introducing a new approach called Duration Spread Ratio (DSR) optimization that outperforms in all scenarios.","featured":"2024-05-15","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management","url":"/papers/arxiv/2405.05449/","summary":"The paper presents KDD, a hybrid method combining portfolio theory and reinforcement learning for optimal investment portfolios, achieving high profitability with low risk.","featured":"2024-05-15","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":3,"scale":"shares"},{"title":"Reaching for Duration and Leverage in the Treasury Market","url":"/papers/ssrn/4816018/","summary":"The article reveals that the use of Treasury futures by mutual funds varies significantly over time and across funds, influencing the variation in aggregate Treasury futures open interest.","featured":"2024-05-08","label":"SSRN","topic":"Portfolio & Allocation","cites":3,"score":2,"scale":"shares"},{"title":"Crowding in Mutual Funds","url":"/papers/ssrn/4818193/","summary":"Mutual funds investing in the same stocks underperform by 1.4% annually compared to passive benchmark funds, due to high demand for liquidity and the related discount for owning liquid stocks.","featured":"2024-05-08","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":66,"scale":"shares"},{"title":"Asset Allocation and Private Markets: the Need for a Cash Management Strategy","url":"/papers/ssrn/4815083/","summary":"The article highlights the difficulties in allocating assets to private markets due to unique cashflow dynamics and portfolio variations, indicating the need for dynamic cash management strategies in portfolio optimization.","featured":"2024-05-08","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Calibration of the rating transition model for high- and low- default portfolios","url":"/papers/arxiv/2405.00576/","summary":"The study introduces algorithms for adjusting model parameters in credit rating transition models, using different methods for high and low-default portfolios, with tests indicating precise outcomes.","featured":"2024-05-08","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"XAI in Finance Review","url":"/papers/repec/spr-manrev-v-74-y-2024-i-2-d-10-1007-s11301-023-00320-0/","summary":"A comprehensive review of 2022 papers on Explainable AI in Finance shows extensive research in risk management and portfolio optimization, but a lack of study in anti-money laundering.","featured":"2024-05-08","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Fund Portfolio Mismatch in China","url":"/papers/repec/taf-raaexx-v-31-y-2024-i-3-p-395-422/","summary":"The paper suggests that the level of network connection in financial networks can either stabilize or intensify market fluctuations, based on the degree of network connectivity.","featured":"2024-05-08","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":14,"scale":"shares"},{"title":"Asset Pricing in Sustainable Equity Portfolios","url":"/papers/repec/taf-reroxx-v-36-y-2023-i-3-p-2147977/","summary":"Research shows that multifactor models are generally effective in pricing sustainable equity portfolios in the Pakistan Stock Exchange–Karachi Meezan Index (PSX–KMI).","featured":"2024-05-08","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Stochastic Portfolio Optimization","url":"/papers/repec/taf-reroxx-v-36-y-2023-i-3-p-2165525/","summary":"The article presents a new method for creating robust portfolios using the Chance Constrained Data Envelopment Analysis model, which minimizes systematic risk and maximizes returns during market downturns, especially for risk-averse investors.","featured":"2024-05-08","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Korean ETF Markets","url":"/papers/ssrn/4806849/","summary":"During the COVID-19 pandemic, Korean retail investors have significantly increased their involvement in the ETF market, particularly in derivative ETFs.","featured":"2024-05-01","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Machine Learning Mutual Fund Flows","url":"/papers/ssrn/4812038/","summary":"Nonlinear machine learning models are more effective than linear models in predicting future fund flows, with past flows and the Morningstar rating as key predictors.","featured":"2024-05-01","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Improving Portfolio Construction with Synthetic Time Series Data","url":"/papers/ssrn/4809931/","summary":"A deep generative model can create high-quality, correlation-aware synthetic financial time series, useful in a GAN-assisted risk-based portfolio construction method.","featured":"2024-05-01","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Portfolio Construction and Risk Management","url":"/papers/ssrn/4807200/","summary":"A crowdfunding campaign is underway to fund a book on portfolio construction and risk management, featuring a guide to a next-generation investment framework and Python code.","featured":"2024-05-01","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":13,"scale":"shares"},{"title":"Markowitz's Portfolio Theories","url":"/papers/ssrn/4810388/","summary":"The article contrasts mean-variance and behavioral portfolio theories, focusing on investors' risk and return management.","featured":"2024-05-01","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Subset second-order stochastic dominance for enhanced indexation with diversification enforced by sector constraints","url":"/papers/arxiv/2404.16777/","summary":"An approach to enhanced indexation with sector constraints outperforms the S&P 500 over five years, including during the Covid pandemic, by optimizing the proportion of the portfolio invested in each sector.","featured":"2024-05-01","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Analysis of market efficiency in main stock markets: using Karman-Filter as an approach","url":"/papers/arxiv/2404.16449/","summary":"The use of the Kalman-Filter analysis to assess market efficiency shows significant portfolio returns in both emerging and developed markets, suggesting its effectiveness across various market types.","featured":"2024-05-01","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Mutual Funds and Social Responsibility","url":"/papers/ssrn/4801953/","summary":"Chinese mutual funds investing in socially responsible investments (SRI) have shown improved performance, indicating that SRI can be financially beneficial for investors and funds.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Asset Allocation with Laplace Distribution","url":"/papers/ssrn/4804682/","summary":"The author adapts a theory for multivariate asset allocation to include returns from a multivariate Laplace distribution, noting slight differences due to problem dimensionality and variance rescaling.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":42,"scale":"shares"},{"title":"Regime Asset Allocation","url":"/papers/ssrn/4801115/","summary":"The article suggests new portfolio construction methods that use macroeconomic regime information, offering a strategic and analytical alternative to the usual tactical asset allocation approach.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Macroprudential Policy in South Africa","url":"/papers/ssrn/4804084/","summary":"A study examines South Africa's credit market response to macroprudential policy measures, focusing on the impact on equitable credit allocation.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Smart Rebalancing","url":"/papers/ssrn/4800836/","summary":"The article discusses how smart rebalancing can enhance investment strategies by minimizing trading costs, especially in smart beta and factor strategies.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"ETF Indexing","url":"/papers/ssrn/4798552/","summary":"The study reveals that the indexing strategy of ETFs greatly affects the value of its assets, with larger bid-ask spreads for equally weighted ETF index assets.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Currency Portfolios","url":"/papers/ssrn/4801233/","summary":"The research suggests that high foreign exchange (FX) ambiguity results in high currency carry returns, indicating that FX ambiguity encompasses aspects of uncertainty not covered by FX volatility.","featured":"2024-04-24","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Optimal Averaging for Portfolios","url":"/papers/ssrn/4792535/","summary":"The article suggests a new method for optimizing portfolio weights by combining minimum-variance strategies, which enhances the variance and Sharpe ratio.","featured":"2024-04-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":87,"scale":"shares"},{"title":"Portfolio Choice with Genetic Programming","url":"/papers/ssrn/4793204/","summary":"A new method for creating efficient portfolios using genetic programming and economic constraints has been developed, which doubles the out-of-sample Sharpe ratio of existing methods.","featured":"2024-04-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Efficient Frontiers and Tangent Portfolio","url":"/papers/repec/wsi-apjorx-v-41-y-2024-i-02-n-s0217595923500124/","summary":"The paper explores the characteristics of kinks in portfolio optimization, demonstrating their universal existence and the absence of tangency.","featured":"2024-04-17","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"FDI in Western Europe","url":"/papers/repec/eme-jefasp-jefas-05-2021-0069/","summary":"The study uses machine learning to analyze factors affecting foreign direct investment in Western Europe, offering insights for capital allocation decisions.","featured":"2024-04-17","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":24,"scale":"shares"},{"title":"Generative AI in Asset Management","url":"/papers/ssrn/4786575/","summary":"Hedge funds using generative AI tools like ChatGPT since 2022 have seen increased returns compared to those not using AI.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":14,"scale":"shares"},{"title":"ESG and Behavioral Finance: Why ESG Investing Is Primarily a Psychological Phenomenon","url":"/papers/ssrn/4786610/","summary":"A Psychological Phenomenon: The study expands traditional portfolio selection and asset pricing theory to include ESG investing, introducing two behavioral innovations related to investor preferences and biased judgments about ESG impact and return distributions.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":5,"score":2,"scale":"shares"},{"title":"Economic Narratives in Portfolio Management","url":"/papers/ssrn/4783643/","summary":"Machine learning models incorporating economic narratives into market portfolio management have been found to outperform benchmarks, particularly during recessions and high investor sentiment periods.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":275,"scale":"shares"},{"title":"Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios","url":"/papers/ssrn/4783121/","summary":"A study of 800 European institutional portfolios shows they are primarily equity risk-focused, have lower carbon emissions but also lower ESG scores compared to the MSCI ACWI equity benchmark.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":17,"scale":"shares"},{"title":"The Valuation of Private Companies","url":"/papers/ssrn/4788148/","summary":"A new method for valuing private companies in private equity, based on actual transactions, can enhance asset allocation and risk management in private markets.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Customizing Allocation","url":"/papers/ssrn/4789846/","summary":"The article presents a strong framework for customizing asset allocation portfolios, emphasizing the advantages of automation and transparency in portfolio construction.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"The Early Bird Catches the Worm: How Lasting is the Value of New, Alternative Data?","url":"/papers/ssrn/4788210/","summary":"The article investigates the influence of social media data on mutual fund managers' decisions and performance, indicating that using such data improves future returns and stock-picking skills.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Subjectivity in Selection","url":"/papers/ssrn/4787082/","summary":"The article delves into the principles of active portfolio selection, emphasizing the potential of subjectivity in improving portfolio performance and the efficiency of a unified active portfolio selection framework.","featured":"2024-04-10","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Optimization with Pareto-Dirichlet Method","url":"/papers/repec/spr-annopr-v-335-y-2024-i-1-d-10-1007-s10479-023-05507-y/","summary":"The article presents a new portfolio optimization method, the Pareto–Dirichlet approach, which surpasses other methods in speed and precision.","featured":"2024-04-10","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":11,"scale":"shares"},{"title":"Optimal Rebalancing in Dynamic AMMs","url":"/papers/arxiv/2403.18737/","summary":"A new method for optimally rebalancing asset ratios in Dynamic Automated Market Maker pools could potentially increase pool profit and loss by about 25% for a BTC-ETH-DAI pool from July 2022 to June 2023.","featured":"2024-04-03","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Deep Reinforcement Learning: Extending Traditional Financial Portfolio Methods","url":"/papers/ssrn/4780026/","summary":"The paper suggests that deep reinforcement learning can potentially improve traditional portfolio allocation strategies by incorporating contextual data and future rewards.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"GRIP: Graphical Models Revealing Insights for Portfolio Replication - A Learning Approach","url":"/papers/ssrn/4780148/","summary":"The paper introduces a new method for decoding investment portfolio strategies using Dynamic Bayesian Graphical Models, resulting in better portfolio allocation decisions and adaptability to various market conditions.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":3,"score":12,"scale":"shares"},{"title":"Who Clears the Market When Passive Investors Trade?","url":"/papers/ssrn/4777585/","summary":"The article investigates the role of firms in providing shares to passive investors, particularly in response to index funds' buying.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":6,"scale":"shares"},{"title":"Behavioral Diversification in Portfolios","url":"/papers/ssrn/4780990/","summary":"The article introduces a new simulation of a diversified portfolio based on consumer products, using linear regression and Monte Carlo Simulation, advocating for a consumer-behavior approach in portfolio structuring.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Comparative Study of Portfolio Risk Management","url":"/papers/ssrn/4779957/","summary":"The article suggests a new method for portfolio risk management and capital allocation, combining value-at-risk with other statistical measures, proving its effectiveness in reducing potential portfolio losses.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Global US Stock Integration","url":"/papers/ssrn/4781466/","summary":"The research finds that US stocks with less global integration can improve portfolio diversification and match international index portfolios in risk-adjusted returns and tail risk.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":86,"scale":"shares"},{"title":"Strategic Mutual Fund Convergence","url":"/papers/ssrn/4775467/","summary":"The research finds a trend towards similar allocation strategies in equity mutual funds globally, especially among funds managed by large financial institutions.","featured":"2024-04-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":89,"scale":"shares"},{"title":"Non-Self-Financing Optimal Portfolio Selection","url":"/papers/ssrn/4769146/","summary":"The paper addresses the mean variance hedging issue assuming the underlying trading strategy doesn't have to be self-financing, introducing a non-self-financing trading strategy with an extra jump noise source.","featured":"2024-03-27","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Yield-Based Asset Ratio","url":"/papers/ssrn/4772032/","summary":"Adjusting a portfolio's stock percentage based on stock earnings yield and bond current yield can help counter weak medium-term returns, suggests a paper.","featured":"2024-03-27","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings","url":"/papers/ssrn/4767576/","summary":"Cloned portfolios from SEC EDGAR Form 13F filings can match original funds' performance and outperform the S&P 500 index by 24.25% annually on a risk-adjusted basis, according to research.","featured":"2024-03-27","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility","url":"/papers/arxiv/2403.15923/","summary":"The research applies Merton's optimal portfolio problem to a stock market with potential bankruptcy, creating a new version of Merton's ratio using Bellman's principle and validating it with a verification theorem.","featured":"2024-03-27","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Robust Linear Regression for Portfolio Optimization","url":"/papers/ssrn/4761214/","summary":"The research presents a new optimization framework that minimizes unknown parameters and addresses estimation error in portfolio optimizations by focusing on the row sums of precision matrix estimates.","featured":"2024-03-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Reducing Carbon Footprint of Index","url":"/papers/ssrn/4765481/","summary":"An index-based portfolio's carbon footprint can be reduced by over 50% with low active risk by focusing on low emission stocks, according to the authors.","featured":"2024-03-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Optimal Portfolio Choice with Cross-Impact Propagators","url":"/papers/arxiv/2403.10273/","summary":"The research looks at optimal portfolio choices in continuous time, considering the impact of transactions on prices and providing solutions to optimal portfolio and execution problems.","featured":"2024-03-20","label":"arXiv","topic":"Portfolio & Allocation","cites":9,"score":3,"scale":"shares"},{"title":"Portfolio Optimization Numerical Integration","url":"/papers/repec/eee-matcom-v-219-y-2024-i-c-p-112-140/","summary":"The paper introduces an efficient numerical integration method for Mean-Variance portfolio optimization, demonstrating its effectiveness in various investment scenarios.","featured":"2024-03-20","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":10,"scale":"shares"},{"title":"Graph Attention Networks for Portfolio Optimization","url":"/papers/ssrn/4757308/","summary":"The paper finds that Graph Attention Networks yield better investment outcomes compared to traditional complex system-based optimization models.","featured":"2024-03-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"An Analytic Solution to the Mean-Variance Equilibrium: Is the Market Beta a Valuable Tool?","url":"/papers/ssrn/4751502/","summary":"In the Markowitz market, market clearing is the same as the market portfolio's clearing, and the CAPM equation is equivalent to the semi-clearing condition, which determines the composition value percentage of the market portfolio.","featured":"2024-03-13","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"(Re)call of Duty: Mutual Fund Securities Lending and Proxy Voting","url":"/papers/ssrn/4757185/","summary":"Mutual funds, especially ESG funds, recall loaned shares before voting record dates, with recalled shares more likely to vote against management proposals, attracting higher fund flows without poor performance due to lost lending revenues.","featured":"2024-03-13","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"The Perfect Portfolio","url":"/papers/ssrn/4754594/","summary":"In Pursuit of the Perfect Portfolio discusses the work of finance scholars in portfolio management and the potential for a perfect risk-reward balance.","featured":"2024-03-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Rolling Window Portfolio Insurance","url":"/papers/ssrn/4752549/","summary":"A paper improves Option-based portfolio insurance (OBPI) to provide better portfolio protection over a rolling window.","featured":"2024-03-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Overcoming Markowitz's Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence","url":"/papers/ssrn/4748151/","summary":"The paper shows the hierarchical risk parity (HRP) approach is superior to the traditional Markowitz portfolio allocation method in terms of noise reduction and robustness.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":3,"score":4,"scale":"shares"},{"title":"Untangling Universality and Dispelling Myths in Mean–Variance Optimization","url":"/papers/ssrn/4747461/","summary":"The article discusses the widespread use of mean-variance optimization in quantitative finance, dispels associated myths, and introduces the concept of mean-variance-equivalent distributions.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":6,"score":7,"scale":"shares"},{"title":"Currency Portfolios and Global Foreign Exchange Ambiguity","url":"/papers/ssrn/4742236/","summary":"The study examines the effect of global foreign exchange ambiguity on currency portfolios, finding that high ambiguity leads to high currency carry returns and uncovers uncertainty not captured by FX volatility.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Robust Inference for Financial Portfolios","url":"/papers/ssrn/4742088/","summary":"The article highlights the importance of accurately modeling asset dependence in financial portfolios, emphasizing the significance of correlation-concordance matrices during market stress.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Mutual Fund Efficiency & Internationalization","url":"/papers/ssrn/4743637/","summary":"The research finds that UK equity mutual funds with a domestic focus perform better than those with an international focus.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":86,"scale":"shares"},{"title":"Mutual Fund Outflows and First-Mover Advantage","url":"/papers/ssrn/4749211/","summary":"The study suggests that mutual fund outflows after poor performance are due to a firstmover advantage in the asset market, not investor behavior, affecting mutual fund industry regulation and understanding.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Global Mutual Fund Flows Study","url":"/papers/ssrn/4742625/","summary":"The research shows that investors' decisions are influenced by the performance of mutual funds, with variations based on the fund's size and market position.","featured":"2024-03-06","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Adaptive Portfolio Selection","url":"/papers/repec/wsi-ijtafx-v-26-y-2023-i-06n07-n-s0219024923500243/","summary":"The paper discusses the use of polynomial series, specifically Taylor and Bernstein series, to solve dynamic portfolio optimization problems.","featured":"2024-03-06","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":9,"scale":"shares"},{"title":"Robust Testing","url":"/papers/repec/oup-jfinec-v-21-y-2023-i-2-p-316-367/","summary":"A new test is introduced for identifying changes in risk exposures of large financial asset portfolios, revealing portfolio weight dynamics across different regimes.","featured":"2024-03-06","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":8,"scale":"shares"},{"title":"An End-to-End Direct Reinforcement Learning Approach for Multi-Factor Based Portfolio Management","url":"/papers/ssrn/4729683/","summary":"A new online portfolio decision model combines the multifactor model and mean-variance portfolio optimization in one step, enhancing overall performance.","featured":"2024-02-21","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"An Application of Credit Portfolio Modelling and CDO Pricing","url":"/papers/ssrn/4728937/","summary":"The paper presents a simulation tool for assessing credit portfolio risks and CDO strategies, highlighting the role of quantitative methods and machine learning in financial risk evaluation.","featured":"2024-02-21","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Machine Learning Approach for Predicting U.S. ETFs’ Tracking Errors – Implications on U.S. Invested Fund","url":"/papers/ssrn/4726993/","summary":"Machine learning methods, specifically Random Forest and Gradient Boosting Decision Tree, are found to be more effective in predicting U.S. ETF’s tracking errors, with U.S. assets and expense ratio being key factors.","featured":"2024-02-21","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":14,"scale":"shares"},{"title":"Portfolio Performance Ratios","url":"/papers/ssrn/4726423/","summary":"The article proposes four coherence axioms that portfolio performance ratios should meet, arguing that performance ratios with fixed thresholds other than the risk-free rate do not meet these axioms, allowing portfolio managers to manipulate performance ratios by altering the proportion of the risk-free asset in the portfolio.","featured":"2024-02-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Why not low turnover instead of 50/50 for strategic rebalancing ?","url":"/papers/ssrn/4723034/","summary":"A low turnover portfolio, slowly readjusted to fixed weights, performs better than the standard equities/bonds portfolio and is a viable alternative to a simple momentum or value portfolio.","featured":"2024-02-14","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Mean-Variance Optimization of Factors and the Cross-Section of Stock Returns","url":"/papers/ssrn/4721605/","summary":"A new asset pricing factor, created using optimal portfolio weights to maximize the Sharpe ratio, can explain the cross-section of stock and bond returns, even when accounting for popular factors.","featured":"2024-02-14","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Portfolio Optimization under Transaction Costs with Recursive Preferences","url":"/papers/arxiv/2402.08387/","summary":"The Merton investment-consumption problem is expanded to incorporate transaction costs and stochastic differential utility, using new math techniques to understand all parameter combinations and previously difficult aspects.","featured":"2024-02-14","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":4,"scale":"shares"},{"title":"Adaptive Online Portfolio Selection with Transaction Costs","url":"/papers/repec/taf-quantf-v-24-y-2023-i-1-p-59-82/","summary":"The research proposes a new algorithm for online portfolio selection that improves return prediction accuracy by considering peer impact.","featured":"2024-02-14","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":23,"scale":"shares"},{"title":"Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management","url":"/papers/arxiv/2402.00515/","summary":"The piece introduces a multi-agent and self-adaptive framework (MASA) for portfolio management, using reinforcement learning to balance returns and risks, providing market trend feedback and outperforming other similar approaches.","featured":"2024-02-07","label":"arXiv","topic":"Portfolio & Allocation","cites":18,"score":8,"scale":"shares"},{"title":"The extension of Pearson correlation coefficient, measuring noise, and selecting features","url":"/papers/arxiv/2402.00543/","summary":"The article discusses the application of random matrix theory to extend Pearson's correlation coefficient to multiple variables, enhancing risk assessment in multi-asset portfolios and aiding in feature selection in classification.","featured":"2024-02-07","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'","url":"/papers/arxiv/2402.00855/","summary":"The paper introduces a model for distributing income and benefits of longevity-risk pools among participants with different wealth and health statuses, tackling the issue of benefit allocation in smaller pools.","featured":"2024-02-07","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Pragmatic Asset Allocation Model for Semi-Active Investors","url":"/papers/ssrn/4715415/","summary":"The Pragmatic Asset Allocation strategy offers a balanced approach to asset allocation, providing a 10.73% annual return and a Sharpe ratio of 0.93.","featured":"2024-02-07","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Sparse spanning portfolios and under-diversification with second-order stochastic dominance","url":"/papers/ssrn/4713517/","summary":"The study explores whether relaxing sparsity constraints on portfolios enhances investment opportunities, finding no benefit from expanding a sparse opportunity set beyond 45 assets.","featured":"2024-02-07","label":"SSRN","topic":"Portfolio & Allocation","cites":15,"score":5,"scale":"shares"},{"title":"Best Timing for Government Asset Purchases","url":"/papers/ssrn/4717254/","summary":"A study suggests that buying assets in normal times can lead to inefficient risk-taking, while selling assets can enhance risk sharing but may disrupt intertemporal smoothing, affecting the optimal management of public portfolios.","featured":"2024-02-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Money Anxiety Index: Equity Performance Prediction","url":"/papers/ssrn/4716491/","summary":"Equity Performance Prediction: The Money Anxiety Index has identified a group of ETFs that perform better than the market in both long and short positions, with performance not solely based on the risk control variable (Beta).","featured":"2024-02-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Covariance Matrix Estimation with Empirical Bayes Method","url":"/papers/repec/sae-sagope-v-13-y-2023-i-2-p-21582440231174777/","summary":"A method for improving covariance matrix estimation in portfolio analysis was presented, showing superior performance over existing methods.","featured":"2024-02-07","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors","url":"/papers/arxiv/2401.14672/","summary":"A study on portfolio management in an incomplete market model, where the portfolio's performance is periodically evaluated, confirms the existence of optimal portfolio processes and identifies the least favorable market completion.","featured":"2024-01-30","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":8,"scale":"shares"},{"title":"FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking","url":"/papers/arxiv/2401.15139/","summary":"A new method for selecting important variables in complex data analysis, such as financial index tracking, has been developed, which manages the rate of false discoveries and handles groups of highly related variables.","featured":"2024-01-30","label":"arXiv","topic":"Portfolio & Allocation","cites":9,"score":10,"scale":"shares"},{"title":"Mutual Fund Style-Shifting Skill","url":"/papers/ssrn/4708402/","summary":"Most mutual funds use multiple investment styles, and those that change styles not only identify superior new styles but also surpass the benchmarks related to these new styles.","featured":"2024-01-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Efficiency Principles for Active Portfolio Selection","url":"/papers/ssrn/4709083/","summary":"The paper introduces a new ABL allocation model that merges subjective allocation rule and minimum tracking error to enhance portfolio performance and risk management.","featured":"2024-01-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Enhancing Returns with Information in Currency Momentum Portfolios","url":"/papers/ssrn/4709606/","summary":"The study recommends conditional currency momentum strategies that use market data to boost the performance of currency momentum portfolios, which have been unprofitable since the financial crisis.","featured":"2024-01-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Vulnerability to Systemic Risk: Vine Copula and APARCH-DCC Approach","url":"/papers/repec/spr-fininn-v-10-y-2024-i-1-d-10-1186-s40854-023-00559-2/","summary":"Vine Copula and APARCH-DCC Approach: The study assesses the sensitivity and robustness of the Conditional Value-at-Risk (CoVaR) systemic risk measure, finding that CoVaR estimates vary with portfolio strategy and are especially high for cryptocurrency portfolios.","featured":"2024-01-30","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":10,"scale":"shares"},{"title":"Course 2023-2024 in Portfolio Allocation and Asset Management","url":"/papers/ssrn/4698165/","summary":"The University of Paris-Saclay offers an advanced asset management course covering portfolio optimization, smart beta factor investing, and the use of machine learning in asset management.","featured":"2024-01-23","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Higher-Order Financial Networks","url":"/papers/ssrn/4702262/","summary":"The study explores the role of high-order financial network structures in shaping financial market conditions and improving portfolio performance, demonstrating their ability to enhance market timing and asset allocation.","featured":"2024-01-23","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Monetary Policy's Impact on Household Portfolios","url":"/papers/ssrn/4699632/","summary":"Research shows that American households invest more in equities and risky assets when interest rates increase, likely to protect against inflation.","featured":"2024-01-23","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":153,"scale":"shares"},{"title":"MAD risk parity portfolios","url":"/papers/arxiv/2110.12282/","summary":"Features & Performance: A study using the Mean Absolute Deviation (MAD) to measure risk in the Risk Parity (RP) model found that RP strategies typically perform between minimum risk and equally weighted strategies.","featured":"2024-01-23","label":"arXiv","topic":"Portfolio & Allocation","cites":23,"score":34,"scale":"shares"},{"title":"Accelerated computations of sensitivities for xVA*","url":"/papers/arxiv/2211.17026/","summary":"The article highlights the effectiveness of polynomial approximations in reducing computational costs in portfolio valuations, especially in calculating interest rate sensitivities.","featured":"2024-01-23","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":29,"scale":"shares"},{"title":"Fractal Analysis for Portfolio Optimization","url":"/papers/repec/taf-oaefxx-v-11-y-2023-i-2-p-2286755/","summary":"The use of a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange led to portfolios that exceeded market performance.","featured":"2024-01-23","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":23,"scale":"shares"},{"title":"Reducing the Carbon Footprint of an Index: How Low Can You Go?","url":"/papers/ssrn/4692326/","summary":"The article suggests that investors can lower the carbon footprint of their index-based portfolio by over 50% by focusing on low carbon emission stocks and limiting high-emission companies.","featured":"2024-01-17","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Climate-Optimized Investment Portfolios","url":"/papers/ssrn/4696468/","summary":"The Climate Capital Efficiency Ratio (CER) ranks companies based on their carbon emission savings per dollar spent, offering a useful tool for climate-focused investing.","featured":"2024-01-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic portfolio selection under generalized disappointment aversion","url":"/papers/arxiv/2401.08323/","summary":"The research discusses portfolio selection under generalized disappointment aversion (GDA), finding that investment in the stock market is consistently lower under GDA than under traditional Expected Utility theory.","featured":"2024-01-17","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Timing the Tide: The Impact of Rebalancing Periods in Momentum Investing in Indian Equities","url":"/papers/ssrn/4687044/","summary":"Shorter rebalancing periods are more effective in capturing academic momentum in portfolios, a study on portfolio sizes, weighting schemes, and rebalancing intervals reveals.","featured":"2024-01-09","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":5,"scale":"shares"},{"title":"Fundamentals-Based Material ESG Alpha","url":"/papers/ssrn/4684380/","summary":"Firms with larger size, lower growth, and higher profitability are more likely to improve their ESG scores, but the portfolio doesn't generate alpha after considering its exposure to profitability and growth factors.","featured":"2024-01-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Safe Haven Assets in Portfolio Risk Management - A Note on 'Safe Haven'","url":"/papers/ssrn/4687941/","summary":"Utilizing the geometric mean in asset allocation can yield higher total returns than the arithmetic mean, especially with safe haven and insurance-like assets.","featured":"2024-01-09","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach (preprint)","url":"/papers/arxiv/2401.02601/","summary":"The article introduces a new linearization of the Markowitz portfolio optimization model that reduces maximum portfolio drawdown, particularly beneficial during financial crises, and offers a quicker, more profitable version of this model.","featured":"2024-01-09","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"Shanghai ETF Efficiency","url":"/papers/repec/eee-riibaf-v-67-y-2024-i-pb-s0275531923002556/","summary":"The Shanghai 50 ETF index options market operates efficiently when call and put options are at-the-money, but not when the call is in-the-money and the put is out-of-the-money.","featured":"2024-01-09","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":22,"scale":"shares"},{"title":"Comparing Factor Models for Portfolios","url":"/papers/repec/eee-jimfin-v-140-y-2024-i-c-s0261560623001985/","summary":"The paper finds no significant difference in investment outcomes when using the Hou-Xue-Zhang four-factor model versus the Fama-French five-factor model.","featured":"2024-01-09","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":12,"scale":"shares"},{"title":"Mean-Variance Optimization with Affine GARCH","url":"/papers/repec/eee-finlet-v-59-y-2024-i-c-s1544612323011212/","summary":"The study shows that Affine GARCH models are more efficient in portfolio optimization compared to homoscedastic variants.","featured":"2024-01-09","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":11,"scale":"shares"},{"title":"A Portfolio's Common Causal Conditional Risk-neutral PDE","url":"/papers/arxiv/2401.00949/","summary":"A formula is introduced for the conditional probability of a portfolio based on its optimal common drivers, aiding in dynamic risk management.","featured":"2024-01-03","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":7,"scale":"shares"},{"title":"Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning","url":"/papers/arxiv/2312.15385/","summary":"The article discusses a new reinforcement learning-based model for analyzing real-world data, which is more applicable than the continuous-time model.","featured":"2024-01-03","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":5,"scale":"shares"},{"title":"Risk-neutral PDE for Diversification in Portfolios","url":"/papers/ssrn/4682446/","summary":"The article introduces a formula for calculating the conditional probability of a portfolio based on its optimal common drivers, offering new risk metrics.","featured":"2024-01-03","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":13,"scale":"shares"},{"title":"Optimal Portfolio Choice with Estimation Risk: A Genetic Programming Approach","url":"/papers/ssrn/4674858/","summary":"A new method using genetic programming to build the best mean-variance portfolio has been suggested, which significantly improves the Sharpe ratio and outperforms other machine learning techniques.","featured":"2024-01-03","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Saddlepoint Approximations for Credit Portfolio Distributions with Applications in Equity Risk Management","url":"/papers/ssrn/4679443/","summary":"A study introduces a saddlepoint approximation for credit portfolio losses in continuous time models, providing a more efficient algorithm that greatly improves on recursive methods.","featured":"2024-01-03","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Imputing Mutual Fund Trades","url":"/papers/ssrn/4678139/","summary":"The paper introduces a new method to estimate daily mutual fund trades in individual stocks using daily stock prices, returns, and quarterly fund holdings, showing high accuracy for larger trades.","featured":"2024-01-03","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Online Portfolio Selection with Deep Sequence Features and Reversal Info","url":"/papers/ssrn/4669850/","summary":"A new algorithm uses machine learning and financial data to improve online portfolio selection and automated trading.","featured":"2023-12-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Sparse Portfolio Optimization via a Novel Fractional Regularization","url":"/papers/ssrn/4666990/","summary":"The paper introduces a new L1L2 regularized sparse portfolio optimization model using the ADMM method, and discusses an extension of the model to include a more general L1Lq regularization.","featured":"2023-12-20","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Strengthening Investment Portfolios through Resilience – A Primer","url":"/papers/ssrn/4667697/","summary":"The article promotes an adaptive investment strategy that focuses on resilience thinking, active ownership, and moving away from narrow financial models due to fast-paced technological, geopolitical, and environmental changes.","featured":"2023-12-20","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Outperforming Equal Weighting","url":"/papers/ssrn/4669267/","summary":"The article suggests that an equally-weighted stock portfolio can be improved by avoiding negative exposure to certain factor anomalies, while keeping the portfolio construction process simple.","featured":"2023-12-20","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":6,"scale":"shares"},{"title":"Machine Learning for Portfolio Selection","url":"/papers/ssrn/4669599/","summary":"A new performance ratio is created to address the limitations of the Sharpe ratio under non-Gaussian returns and systemic risk, showing improved portfolio selection performance in terms of profitability and risk reduction.","featured":"2023-12-20","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"A return-diversification approach to portfolio selection","url":"/papers/arxiv/2312.09707/","summary":"The article suggests a dual-objective model for portfolio selection that optimizes both diversification and expected return, outperforming strategies focused only on diversification or risk-return.","featured":"2023-12-20","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":8,"scale":"shares"},{"title":"Asset and Factor Risk Budgeting: a balanced approach","url":"/papers/arxiv/2312.11132/","summary":"A new framework for Risk Budgeting in portfolio optimization is introduced, which balances risk from assets and factors using various risk measures.","featured":"2023-12-20","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Managing ESG Ratings Disagreement in Sustainable Portfolio Selection","url":"/papers/arxiv/2312.10739/","summary":"A nonlinear optimization model for portfolio selection considering risk, return, and ESG criteria is proposed, resolving discrepancies between different agencies' ESG ratings.","featured":"2023-12-20","label":"arXiv","topic":"Portfolio & Allocation","cites":6,"score":3,"scale":"shares"},{"title":"Data-Driven Merton's Strategies via Policy Randomization","url":"/papers/arxiv/2312.11797/","summary":"The study applies reinforcement learning to determine optimal portfolio policies in an incomplete market, showing its efficiency and robustness compared to the traditional plug-in method.","featured":"2023-12-20","label":"arXiv","topic":"Portfolio & Allocation","cites":12,"score":3,"scale":"shares"},{"title":"Optimal Portfolio with Ratio Type Periodic Evaluation under Short-Selling Prohibition","url":"/papers/arxiv/2311.12517/","summary":"The study examines how periodic reward structures affect long-term portfolio strategies, especially when short-selling is not allowed, by transforming the issue into a single-period optimization problem.","featured":"2023-12-20","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":13,"scale":"shares"},{"title":"ML Methods for Selecting Mutual Funds with Positive Alpha","url":"/papers/repec/eee-jfinec-v-150-y-2023-i-3-s0304405x23001770/","summary":"Machine-learning methods can help select profitable mutual fund portfolios, with the study indicating that past performance predicts future performance for active funds, benefiting investors with access to advanced prediction methods.","featured":"2023-12-20","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":22,"scale":"shares"},{"title":"Portfolio Asset Selection with Graph Based Representation Learning","url":"/papers/ssrn/4659016/","summary":"The Representation Portfolio Selection (RPS) method is introduced for portfolio optimization, showing that popular algorithms can benefit from this asset selection approach.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Optimal Attention Allocation for Portfolio Selection","url":"/papers/ssrn/4660271/","summary":"The paper demonstrates that the optimal attention strategy in portfolio selection with information capacity constraint should maximize the combined expected alpha and beta payoffs.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Optimizing Investment Period Length and Strategies for Private Equity Portfolios with Rounds of Financing","url":"/papers/ssrn/4657147/","summary":"The Sequential Investment Allocation Model (SIAM) is introduced to manage Private Equity fund portfolio investment periods, aiming to shorten investment period length while considering payoff and strategies.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Bridging Portfolio Strategies: From USA ETFs to UCITS ETFs","url":"/papers/ssrn/4663082/","summary":"Bridging Portfolio Strategies: The paper investigates the use of U.S. ETF-based strategies in the European investment context using UCITS ETFs, assessing their feasibility and potential for similar or improved portfolio performance within European regulations.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"Correcting Bias in Mutual Funds' Performance Evaluation","url":"/papers/ssrn/4656496/","summary":"The functional False Discovery Rate “plus” (fFDR) test, a new method for assessing mutual funds' performance, corrects data snooping bias and outperforms previous methods.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Mutual Funds & ETFs","url":"/papers/ssrn/4660708/","summary":"Mutual funds are shown to invest in ETFs instead of underlying securities to lower portfolio volatility, using them as a hedging tool.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"ESG Investments as Luxury","url":"/papers/ssrn/4662146/","summary":"The article suggests that responsible investments are seen as luxury goods by investors, with unexpected wealth increasing the likelihood of investing in green stocks and responsible mutual funds.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":102,"scale":"shares"},{"title":"Portfolio Optimization Model for Supporting Venture Capital Decision-Making","url":"/papers/ssrn/4660000/","summary":"The article introduces a model for improving venture capital investment portfolios, taking into account high risk and uncertain future values, using bootstrapping and mixed-integer linear programming.","featured":"2023-12-13","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Onflow: a model free, online portfolio allocation algorithm robust to transaction fees","url":"/papers/arxiv/2312.05169/","summary":"Portfolio Allocation Algorithm: Onflow is a learning method that optimizes portfolio allocation online, yielding high returns and performing well in high transaction cost scenarios.","featured":"2023-12-13","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":9,"scale":"shares"},{"title":"Partial Information in a Mean‐Variance Portfolio Selection Game","url":"/papers/arxiv/2312.04045/","summary":"The article investigates how limited information affects investors' wealth and systemic risk, using a model where investors adjust their strategies based on their wealth compared to others.","featured":"2023-12-13","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":23,"scale":"shares"},{"title":"Performance analysis","url":"/papers/repec/wsi-wschap-9789811272578-0011/","summary":"The chapter reviews the performance analysis of global bond portfolios, stressing the need for precise return calculations and adherence to the Global Investment Performance Standards for presenting performance results.","featured":"2023-12-13","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":18,"scale":"shares"},{"title":"Bond Portfolios: Markets and Benchmarks","url":"/papers/repec/wsi-wschap-9789811272578-0002/","summary":"Markets and Benchmarks: Global bond portfolios invest in various markets, considering risks such as currency, liquidity, political, and macroeconomic, with a focus on either developed or emerging markets.","featured":"2023-12-13","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":17,"scale":"shares"},{"title":"Machine Learning for Portfolio Performance","url":"/papers/ssrn/4655091/","summary":"The study introduces a method to determine the impact of individual factors on portfolio performance, providing insights into the economic value of return predictability in machine learning models.","featured":"2023-12-06","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Active ETFs Cloned from Mutual Funds: Competing for Investor Flows","url":"/papers/ssrn/4653702/","summary":"The research indicates that less transparent active ETFs do not affect mutual fund investor flows, instead, the reputation of the cloned mutual funds helps the new ETFs attract more flows.","featured":"2023-12-06","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Valuing Post-Revenue Biopharmaceutical Assets with Pfizer's Current Portfolio as a Case Study","url":"/papers/arxiv/2312.02250/","summary":"The research introduces a new model for predicting future sales of post-revenue biopharmaceutical assets, aiding more strategic investment decisions in the biotech and pharmaceutical sectors.","featured":"2023-12-06","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":5,"scale":"shares"},{"title":"Machine Learning for Asset Management","url":"/papers/ssrn/4638186/","summary":"Machine Learning for Asset Management discusses the use of machine learning in finance, its history, and its applications in asset management.","featured":"2023-11-29","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"Dynamic Portfolio Choice with Transaction Costs using Machine Learning","url":"/papers/ssrn/4642269/","summary":"A new computational framework is introduced for solving dynamic portfolio choice problems, using Gaussian process regression and Bayesian active learning, suggesting that more assets can mitigate some illiquidity.","featured":"2023-11-29","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"High order universal portfolios","url":"/papers/arxiv/2311.13564/","summary":"The research explores the properties of the Cover universal portfolio and its enhancements as a new synthetic asset.","featured":"2023-11-29","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"On Optimal Tracking Portfolio in Incomplete Markets: The Reinforcement Learning Approach","url":"/papers/arxiv/2311.14318/","summary":"The paper uses capital injection to solve an optimal tracking portfolio problem in incomplete market models, showcasing the q-learning algorithm's performance.","featured":"2023-11-29","label":"arXiv","topic":"Portfolio & Allocation","cites":12,"score":6,"scale":"shares"},{"title":"Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe","url":"/papers/arxiv/2311.16004/","summary":"The study presents a method for creating synthetic datasets to evaluate asset allocation methods and build portfolios within the fixed income universe.","featured":"2023-11-29","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Missing values handling for machine learning portfolios","url":"/papers/arxiv/2207.13071/","summary":"The study shows that using cross-sectional means for simple imputation is effective in dealing with missing values in machine learning-constructed portfolios, as complex imputations can cause underperformance due to estimation noise.","featured":"2023-11-29","label":"arXiv","topic":"Portfolio & Allocation","cites":35,"score":42,"scale":"shares"},{"title":"Factor Models in Bond Portfolios","url":"/papers/repec/wsi-wschap-9789811272578-0010/","summary":"The chapter highlights the use of factor models in understanding bond portfolio risk and return, stressing the importance of model specification.","featured":"2023-11-29","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Australian superannuation fund asset allocation","url":"/papers/repec/spr-annopr-v-330-y-2023-i-1-d-10-1007-s10479-022-04741-0/","summary":"The paper analyzes the asset class switching behavior of Australian superannuation funds using a Markov Regime Switching framework, indicating smaller funds are more aggressive and larger ones are more conservative.","featured":"2023-11-29","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":25,"scale":"shares"},{"title":"The Anatomy of Machine Learning-Based Portfolio Performance","url":"/papers/ssrn/4628462/","summary":"The SPPC methodology can determine individual predictors' contributions to portfolio performance, shedding light on the sources of economic value from return predictability.","featured":"2023-11-15","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"The Demise of § 36(B) Litigation","url":"/papers/ssrn/4631232/","summary":"The article debates the issue of mutual fund management fees, arguing that mutual funds are controlled by the investment management firms that create them and manage their portfolios, resulting in the charging of excessive management fees.","featured":"2023-11-15","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic conditional correlation analysis of green and grey investments: Evidence from energy ETFs","url":"/papers/ssrn/4632706/","summary":"The research finds that green energy ETFs offer better diversification compared to grey and conventional investment strategies.","featured":"2023-11-15","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Withdrawal success optimization","url":"/papers/arxiv/2311.06665/","summary":"The likelihood of completing a specific investment and withdrawal schedule is maximized using adjustable portfolio weight functions, showing significant improvements when optimal weights are used instead of constant ones.","featured":"2023-11-15","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Portfolio diversification with varying investor abilities","url":"/papers/arxiv/2311.06519/","summary":"New mathematical techniques are used to determine the optimal portfolio size for investors of different abilities, suggesting that strong investors should have smaller portfolios, weak investors larger ones, and average investors a fluctuating optimal number.","featured":"2023-11-15","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":4,"scale":"shares"},{"title":"A Unified Framework for Fast Large-Scale Portfolio Optimization","url":"/papers/arxiv/2303.12751/","summary":"A new large-scale portfolio optimization framework, using shrinkage and regularization techniques, has been tested and proven effective using 50 years of US company return data.","featured":"2023-11-15","label":"arXiv","topic":"Portfolio & Allocation","cites":6,"score":27,"scale":"shares"},{"title":"Preferred REITs' Portfolio Enhancement Attributes","url":"/papers/repec/kap-jrefec-v-67-y-2023-i-4-d-10-1007-s11146-021-09873-x/","summary":"The research indicates that REIT preferred stocks offer significant diversification benefits and enhance portfolio performance during economic expansion.","featured":"2023-11-15","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":21,"scale":"shares"},{"title":"On the Kelly Criterion in Stock Investment","url":"/papers/ssrn/4625295/","summary":"A paper suggests using the Kelly criterion and Monte Carlo simulation to estimate the optimal portfolio in stock investment.","featured":"2023-11-08","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"Assessing the Efficacy of Sector Portfolio HRP: A Comparative Study of Performance and Risk Metrics against the MSCI ACWI","url":"/papers/ssrn/4623991/","summary":"Performance and Risk Metrics: A diversified portfolio strategy, Sector Portfolio HRP, outperforms the MSCI All Country World Index in annualized return and risk evaluation from 1996 to 2022, a study shows.","featured":"2023-11-08","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":4,"scale":"shares"},{"title":"Maximizing Portfolio Predictability with Machine Learning","url":"/papers/arxiv/2311.01985/","summary":"Portfolio Predictability Maximization using ML: A stock portfolio called the maximally predictable portfolio (MPP), created using machine learning and a Kelly criterion strategy, consistently performs better than the benchmark.","featured":"2023-11-08","label":"arXiv","topic":"Portfolio & Allocation","cites":3,"score":5,"scale":"shares"},{"title":"Time-Variation in Effects on Portfolio Flows","url":"/papers/repec/eee-dyncon-v-156-y-2023-i-c-s0165188923001628/","summary":"The research examines the relative significance of push and pull factors for portfolio flows during financial crises, finding that the importance of push factors has increased over time, especially for EU countries.","featured":"2023-11-08","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":14,"scale":"shares"},{"title":"Smart Beta ETFs & Increased Flow Sensitivity to Multi-Factor Alphas","url":"/papers/ssrn/4620486/","summary":"Smart beta ETFs trading activity significantly impacts mutual fund flow sensitivity, especially in funds with high nonmarket risk factor exposure.","featured":"2023-11-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Diversification Including Art as an Alternative Asset","url":"/papers/ssrn/4617318/","summary":"Art and collectibles can act as alternative assets for portfolio diversification, with art performing well compared to standard investments and showing a unique seasonal pattern in returns.","featured":"2023-11-02","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Indian Mutual Funds Performance Analysis","url":"/papers/ssrn/4615710/","summary":"The study examines the performance and risk characteristics of Indian mutual funds across market capitalization groups, offering insights for investors and financial professionals.","featured":"2023-11-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"ETFs and Market Efficiency","url":"/papers/ssrn/4615092/","summary":"Capital constraints on intermediaries can affect the pricing efficiency of assets they manage, as seen in ETFs and their lead market makers during the COVID-19 debt market disruptions.","featured":"2023-11-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":369,"scale":"shares"},{"title":"ETF Closures: Inaction for Investors?","url":"/papers/ssrn/4620553/","summary":"Inaction for Investors?: Research indicates smaller ExchangeTraded Funds (ETFs) often yield higher daily returns and typically close after positive returns. Investors usually fare better by not reacting to closure announcements.","featured":"2023-11-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":60,"scale":"shares"},{"title":"A General Framework on Enhancing Portfolio Management with Reinforcement Learning","url":"/papers/arxiv/1911.11880/","summary":"A reinforcement learning framework for portfolio management is introduced, allowing for continuous asset weights, short selling, and decision-making, with three reinforcement learning algorithms compared for effectiveness.","featured":"2023-11-02","label":"arXiv","topic":"Portfolio & Allocation","cites":7,"score":33,"scale":"shares"},{"title":"Performance of Actively Managed ETFs","url":"/papers/repec/mfa-journl-v-30-y-2022-i-2-p-39-61/","summary":"A study from 2018-2021 reveals that actively managed Exchange Traded Funds (ETFs) in the U.S. did not yield significant above-market returns, indicating managers lacked superior market timing skills.","featured":"2023-11-02","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":18,"scale":"shares"},{"title":"Cluster-Enhanced IV Portfolios","url":"/papers/ssrn/4610075/","summary":"The paper proposes a new method for portfolio construction, cluster-enhanced inverse volatility, which improves upon traditional inverse volatility portfolios, especially in large-asset portfolios.","featured":"2023-10-25","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Minimum Variance Portfolio Models","url":"/papers/ssrn/4608270/","summary":"A new dynamic minimum variance portfolio model is presented, using nonlinear volatility dynamic models and the least absolute shrinkage and selection operator for parameter estimation.","featured":"2023-10-25","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Asset Allocation with Clustered EF Coefficients","url":"/papers/ssrn/4609682/","summary":"A new asset allocation model using a Markov process has been proposed to characterize market states and optimize portfolios.","featured":"2023-10-25","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"Economics of Voluntary Portfolio Disclosure","url":"/papers/ssrn/4610422/","summary":"Mutual funds often willingly reveal their portfolio holdings, with more frequent disclosure linked to higher institutional ownership and load fees, and lower investment risk and portfolio illiquidity.","featured":"2023-10-25","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Topological Portfolio Selection and Optimization","url":"/papers/arxiv/2310.14881/","summary":"The paper suggests the use of Statistically Robust Information Filtering Network (SR-IFN) to minimize noise in empirical covariance estimation, improving portfolio optimization by aiding in the selection of diversified, high-performing portfolios.","featured":"2023-10-25","label":"arXiv","topic":"Portfolio & Allocation","cites":8,"score":9,"scale":"shares"},{"title":"A Comparative Study of Portfolio Optimization Methods for the Indian Stock Market","url":"/papers/arxiv/2310.14748/","summary":"The chapter evaluates and compares the MVP, HRP, and HERC portfolio optimization methods using data from 15 sectors of the Indian stock market.","featured":"2023-10-25","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":3,"scale":"shares"},{"title":"Dynamic Realized Minimum Variance Portfolio Models","url":"/papers/arxiv/2310.13511/","summary":"The article introduces a new model for predicting future portfolios using high-frequency financial data, which minimizes variance using the least absolute shrinkage and selection operator.","featured":"2023-10-25","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":4,"scale":"shares"},{"title":"Black-Litterman Asset Allocation under Hidden Truncation Distribution","url":"/papers/arxiv/2310.12333/","summary":"The study investigates the Black-Litterman asset allocation model under a specific distribution, revealing that the resulting optimal portfolio has reduced risk and a negative correlation between volatility and skewness.","featured":"2023-10-25","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"ESG Fund Greenwashing Uncovered","url":"/papers/ssrn/4601047/","summary":"The study reveals that funds focusing on climate change or decarbonisation strategies do not significantly reduce their portfolio's carbon intensity, suggesting potential greenwashing in responsible investing.","featured":"2023-10-18","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":550,"scale":"shares"},{"title":"Uncertainty Diversification's Misallocation Effects","url":"/papers/ssrn/4603819/","summary":"The research highlights a paradox in corporate risk management, where firms' diversification efforts to hedge against risk result in reduced growth, equity value, and inefficient resource allocation.","featured":"2023-10-18","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Access to Finance Bureaucracy and Capital Allocation Efficiency","url":"/papers/ssrn/4605203/","summary":"The research explores capital allocation efficiency in developing countries, revealing that factors like limited finance access, bureaucracy, information asymmetry, and gender inequality obstruct efficient capital allocation.","featured":"2023-10-18","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Determinants of Portfolio ESG Performance: Attribution Framework","url":"/papers/ssrn/4601050/","summary":"Attribution Framework: The study introduces a framework for assessing the ESG performance of a portfolio, indicating that U.S. public pensions' positive ESG performance is largely due to their underlying holdings.","featured":"2023-10-18","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Talk vs. Walk: Lessons from Silent Sustainable Investing of Mutual Funds","url":"/papers/ssrn/4602285/","summary":"Talk vs. Walk: The study finds that investors favor internal ESG labels over external sustainability ratings, significantly influencing fund flows, but high sustainability rating funds don't necessarily rebrand as ESG funds due to regulatory pressure and limited benefits.","featured":"2023-10-18","label":"SSRN","topic":"Portfolio & Allocation","cites":3,"score":15,"scale":"shares"},{"title":"Unique Asset Class: Wine","url":"/papers/ssrn/4601285/","summary":"Wine: Research indicates that adding a unique South African wine index to a portfolio can enhance risk reduction and diversification.","featured":"2023-10-18","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Bond Portfolio Optimization","url":"/papers/repec/kap-apfinm-v-30-y-2023-i-4-d-10-1007-s10690-023-09401-2/","summary":"The paper introduces a new framework for dynamic bond portfolio optimization over multiple periods, proving it to be more effective than single-period optimization.","featured":"2023-10-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":26,"scale":"shares"},{"title":"Multiperiod Portfolio Allocation","url":"/papers/repec/eee-ecofin-v-68-y-2023-i-c-s1062940823001201/","summary":"The research finds that considering volatility clustering reduces hedging demands in dynamic multiperiod portfolio choices, while non-normalities have minor effects on allocations.","featured":"2023-10-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":23,"scale":"shares"},{"title":"HighDimensional Portfolio Optimization with Tree-Structured Factor Model","url":"/papers/repec/eee-pacfin-v-81-y-2023-i-c-s0927538x23001774/","summary":"The paper proposes a new portfolio optimization method that uses multiple characteristic information to predict stock returns and risk exposures, demonstrating its effectiveness in achieving higher Sharpe ratios, smaller standard deviations, and lower turnover.","featured":"2023-10-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":15,"scale":"shares"},{"title":"Performance of ESG ETFs in the U.S.","url":"/papers/repec/mfa-journl-v-31-y-2023-i-2-p-89-101/","summary":"The research finds that ESG equity ETFs in the U.S. generally outperform the S&P 500 Index, with approximately 16% providing positive and significant alphas.","featured":"2023-10-18","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":15,"scale":"shares"},{"title":"Can Deep Reinforcement Learning Solve the Portfolio Allocation Problem? (PhD Manuscript)","url":"/papers/ssrn/4599800/","summary":"The thesis shows that deep reinforcement learning (DRL) offers a new approach for portfolio allocation, enhancing existing methods by better adapting to market conditions.","featured":"2023-10-12","label":"SSRN","topic":"Portfolio & Allocation","cites":3,"score":2,"scale":"shares"},{"title":"Remeasuring Scale in Active Management","url":"/papers/ssrn/4599484/","summary":"The study suggests that previous research significantly overestimates the diminishing returns of mutual funds when considering additional institutional assets managed under the same strategy.","featured":"2023-10-12","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":3,"scale":"shares"},{"title":"Patent Portfolios and Valuation Uncertainty","url":"/papers/ssrn/4596801/","summary":"The study analyzes the effect of patent portfolio traits on market-perceived valuation uncertainty, finding that a larger market value increases uncertainty, while more patents and lower value dispersion decrease it.","featured":"2023-10-12","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"The Hidden Rise and Risk of Collective Investment Trusts","url":"/papers/ssrn/4594657/","summary":"The article highlights the growing popularity of collective investment trusts (CITs), an investment vehicle replacing mutual funds in employer-sponsored retirement plans.","featured":"2023-10-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"End-to-End, Decision-based, Cardinality-Constrained Portfolio Optimization","url":"/papers/ssrn/4598167/","summary":"The article introduces a comprehensive framework for portfolio optimization using a neural network, and compares three different problem-solving methods within this framework.","featured":"2023-10-12","label":"SSRN","topic":"Portfolio & Allocation","cites":11,"score":3,"scale":"shares"},{"title":"ETFs & Illiquid Assets: Fire Sales","url":"/papers/ssrn/4598157/","summary":"Fire Sales: A study indicates that ETFs can cause fire sales in illiquid assets, with authorized participants acting as a buffer to prevent such sales.","featured":"2023-10-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Towards Replication-Robust Analytics Markets","url":"/papers/arxiv/2310.06000/","summary":"Wind Power Analytics Market: The article explores the creation of a market for wind power forecasting analytics that takes into account correlations, using a Shapley value-based policy for revenue allocation.","featured":"2023-10-12","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":14,"scale":"shares"},{"title":"Technical Note - An Unexpected Stochastic Dominance: Pareto Distributions, Dependence, and Diversification","url":"/papers/arxiv/2208.08471/","summary":"The research suggests that diversifying super-Pareto losses increases portfolio risk, discouraging risk sharing in market equilibrium.","featured":"2023-10-12","label":"arXiv","topic":"Portfolio & Allocation","cites":26,"score":170,"scale":"shares"},{"title":"fBetas and Portfolio Optimization with f-Divergence Risk Measures","url":"/papers/repec/taf-quantf-v-23-y-2023-i-10-p-1483-1496/","summary":"The paper presents a new f-Beta for portfolio optimization, comparing its performance with Standard Beta and Drawdown Betas using selected stocks against the S&P 500 market index.","featured":"2023-10-12","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":18,"scale":"shares"},{"title":"Mutual Fund Managers' Appeal and Fund Flows","url":"/papers/ssrn/4586712/","summary":"Research shows that mutual funds managed by 'attractive' managers attract more investments from retail investors, despite no evidence of better fund performance.","featured":"2023-10-04","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":26,"scale":"shares"},{"title":"Political Connections, Corruption, and Investment Decisions of Chinese Mutual Funds","url":"/papers/ssrn/4586940/","summary":"A study finds a direct correlation between Chinese mutual funds' political ties and their investment choices, with these influences decreasing after the 2012 anti-corruption campaign, implying such campaigns can improve market fairness.","featured":"2023-10-04","label":"SSRN","topic":"Portfolio & Allocation","cites":7,"score":3,"scale":"shares"},{"title":"CAD: Clustering And Deep Reinforcement Learning Based Multi-Period Portfolio Management Strategy","url":"/papers/arxiv/2310.01319/","summary":"Clustering and deep reinforcement learning for multi-period trading: The study introduces a new trading strategy that merges reinforcement learning and clustering techniques for portfolio management in multi-period trading, showing better results than traditional portfolio management methods.","featured":"2023-10-04","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":5,"scale":"shares"},{"title":"Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS","url":"/papers/arxiv/2309.17219/","summary":"The Average Oracle, a fast covariance filtering method, outperforms complex methods, yielding superior Sharpe ratios in large-scale experiments.","featured":"2023-10-04","label":"arXiv","topic":"Portfolio & Allocation","cites":6,"score":4,"scale":"shares"},{"title":"Comparing Deep RL and Traditional Financial Portfolio Methods (ECML PKDD 2023 - MIDAS Slides)","url":"/papers/ssrn/4581947/","summary":"Deep reinforcement learning (DRL) surpasses traditional methods in portfolio management, offering better risk-adjusted return and Sharpe ratio.","featured":"2023-09-28","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":18,"scale":"shares"},{"title":"Diversification Paradox and Uncertainty Allocation","url":"/papers/ssrn/4584025/","summary":"Firms diversify investments into various industries to mitigate risks, but this can result in decreased growth, equity value, and financial constraint, leading to inefficient resource allocation and a drop in overall productivity.","featured":"2023-09-28","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":8,"scale":"shares"},{"title":"Performance Evaluation of Equal-Weight Portfolio and Optimum Risk Portfolio on Indian Stocks","url":"/papers/arxiv/2309.13696/","summary":"The paper compares three portfolio design strategies using historical stock prices from the National Stock Exchange of India, identifying the highest return yielding portfolio for each sector.","featured":"2023-09-28","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Startup success prediction and VC portfolio simulation using CrunchBase data","url":"/papers/arxiv/2309.15552/","summary":"A new deep learning model can predict the success of startups at Series B and C investment stages, using data like funding metrics and founder characteristics.","featured":"2023-09-28","label":"arXiv","topic":"Portfolio & Allocation","cites":10,"score":8,"scale":"shares"},{"title":"A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies","url":"/papers/arxiv/2207.00446/","summary":"The research demonstrates a mean-field control problem in portfolio liquidation models, showing that the value function follows a linear-quadratic form.","featured":"2023-09-28","label":"arXiv","topic":"Portfolio & Allocation","cites":10,"score":14,"scale":"shares"},{"title":"Product Market Competition's Impact on Mutual Funds' Portfolio Choices","url":"/papers/ssrn/4573836/","summary":"The research shows that mutual funds hold less equity in companies facing increased product market competition, especially for firms more susceptible to competition and with greater agency problems.","featured":"2023-09-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Ensembling Arimax Model in Algorithmic Investment Strategies on Commodities Market","url":"/papers/ssrn/4577441/","summary":"ARIMAX/ARIMAX-Garch models are ineffective for making buy or sell decisions for selected commodity baskets, as per a study on four Invesco ETF funds.","featured":"2023-09-21","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Sparse International Portfolio Optimization","url":"/papers/ssrn/4575065/","summary":"A study shows that a regularized joint optimization approach for multicurrency asset allocation surpasses traditional strategies, enhancing portfolio performance and currency risk management.","featured":"2023-09-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Managerial Capital Gains Taxes and Risk","url":"/papers/ssrn/4575792/","summary":"A study on the American Taxpayer Relief Act 2012 suggests that mutual fund managers with large co-investment stakes may prioritize their own tax interests, leading to poor fund performance.","featured":"2023-09-21","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks","url":"/papers/arxiv/2309.08652/","summary":"A unique method using Variational Autoencoders has been suggested to measure credit portfolio Value-at-Risk sensitivity to asset correlations, providing a clearer latent space representation.","featured":"2023-09-21","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":6,"scale":"shares"},{"title":"Portfolio Decision Analysis: Friction and Decision Rules","url":"/papers/repec/inm-ordeca-v-18-y-2021-i-2-p-101-120/","summary":"Friction and Decision Rules: The research suggests that the traditional method of maximizing expected utility in portfolio decision analysis may not always be the best approach, highlighting the need for further studies on friction.","featured":"2023-09-21","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Fund Diversification Measures","url":"/papers/ssrn/4570736/","summary":"The research introduces a new method for assessing risk diversification in mutual fund families, revealing significant variations unrelated to the number of funds or objectives.","featured":"2023-09-14","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":3,"scale":"shares"},{"title":"ETF Measure of Stock Fragility","url":"/papers/ssrn/4571071/","summary":"Using exchange-traded funds data in an alternative estimation procedure enhances the prediction of stock price fragility, highlighting the impact of ETF activity and institutional investors' demand on price volatility.","featured":"2023-09-14","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":98,"scale":"shares"},{"title":"A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models","url":"/papers/arxiv/2309.05977/","summary":"The research introduces an efficient numerical integration method for portfolio optimization, demonstrating its computational efficiency and accuracy, and its convergence to the unique solution of the optimization problem.","featured":"2023-09-14","label":"arXiv","topic":"Portfolio & Allocation","cites":6,"score":3,"scale":"shares"},{"title":"Mean-Variance Optimization & Sharpe Ratio","url":"/papers/repec/wsi-wschap-9789811273827-0001/","summary":"The author recognizes Harry Markowitz's 1952 paper on Portfolio Selection as the basis for the field of quantitative investment strategy.","featured":"2023-09-14","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":19,"scale":"shares"},{"title":"Real Returns of Mutual Fund Investors","url":"/papers/ssrn/4553496/","summary":"The paper finds that reported mutual fund returns in China are influenced by subscription and redemption activities, resulting in a lower actual gain coefficient for investors.","featured":"2023-08-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Optimization using Machine Learning","url":"/papers/ssrn/4553078/","summary":"The research shows that machine learning models can be used to devise investment strategies and construct optimal portfolios, performing better than traditional strategies on the Mexican Stock Exchange.","featured":"2023-08-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5,"scale":"shares"},{"title":"Formulations to select assets for constructing sparse index tracking portfolios","url":"/papers/ssrn/4551632/","summary":"The article introduces new methods for asset selection in sparse index tracking portfolios, highlighting its benefits over traditional full replication portfolios.","featured":"2023-08-30","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Passive S&P 500 Funds' Discretionary Investing","url":"/papers/ssrn/4553420/","summary":"The article challenges the belief that passive index funds strictly mimic their underlying index, showing that S&P 500 index funds do not legally commit to this.","featured":"2023-08-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"ML Beats Benchmark Models in Stock Beta Estimation","url":"/papers/ssrn/4551604/","summary":"Machine learning models, especially random forests, are more effective than traditional models in predicting market trends and reducing errors, improving market-neutral strategies and minimum variance portfolios.","featured":"2023-08-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Tradeoff Between Tracking Error & Turnover in Portfolio Rebalancing","url":"/papers/ssrn/4552359/","summary":"There's a balance between tracking error and turnover in rebalancing choices, with calendar-based methods being less efficient than tolerance bands, and no proof that rebalancing choices can consistently boost expected returns.","featured":"2023-08-30","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Grover Search for Portfolio Selection","url":"/papers/arxiv/2308.13063/","summary":"The study presents explicit oracles for Grover's algorithm to align with investor preferences, possibly choosing portfolios with optimal Sharpe ratios, tested using quantum simulators.","featured":"2023-08-30","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Enhanced VaR Estimation","url":"/papers/repec/gam-jdataj-v-8-y-2023-i-8-p-133-d-1219341/","summary":"Machine learning is enhancing the accuracy and reliability of Value at Risk (VaR), a tool used in risk management for estimating potential portfolio losses.","featured":"2023-08-30","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":25,"scale":"shares"},{"title":"Black-Litterman, Bayesian Shrinkage, and Factor Models in Portfolio Selection: You Can Have It All","url":"/papers/arxiv/2308.09264/","summary":"The paper introduces a Bayesian model that combines shrinkage estimation with view inclusion, applied to Fama-French approach factor models, outperforming simple and optimal portfolios based on sample estimators.","featured":"2023-08-24","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Analysis of Optimal Portfolio Management Using Hierarchical Clustering","url":"/papers/arxiv/2308.11202/","summary":"The study improves the Markowitz Model by integrating machine learning through a hierarchical clustering approach, enhancing portfolio performance on a risk-adjusted basis.","featured":"2023-08-24","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Risk Management of Stock Portfolios With Jumps at Exogenous Default Events","url":"/papers/ssrn/4545190/","summary":"The paper discusses managing equity risk in stock portfolios with defaults, deriving formulas for loss distributions and applying them to Value-at-Risk calculations.","featured":"2023-08-24","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"Choice of a Mixed-Asset Portfolio Based on Third-Degree Stochastic Dominance","url":"/papers/ssrn/4545395/","summary":"A study finds that adding direct real estate investments and bonds to a mixed-asset portfolio of stocks significantly enhances the portfolio's efficient frontiers.","featured":"2023-08-24","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":4,"scale":"shares"},{"title":"Portfolio selection via topological data analysis","url":"/papers/arxiv/2308.07944/","summary":"A two-stage method using Topological Data Analysis for building a stock investment portfolio consistently outperforms traditional methods across various time periods.","featured":"2023-08-17","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":6,"scale":"shares"},{"title":"Quantifying Outlierness of Funds from their Categories using Supervised Similarity","url":"/papers/arxiv/2308.06882/","summary":"The study uses machine learning to measure the impact of mutual fund miscategorization, revealing a significant link between outlier measures of funds and their future returns.","featured":"2023-08-17","label":"arXiv","topic":"Portfolio & Allocation","cites":9,"score":4,"scale":"shares"},{"title":"The Diminishing Role of Active Mutual Funds: Flows and Returns","url":"/papers/ssrn/4539706/","summary":"Flows & Returns: The research indicates that U.S. active equity mutual funds have seen net outflows since 2006, with the impact of these flows on the annualized alpha for the active funds industry turning negative between 2006 and 2021.","featured":"2023-08-17","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"On the Spectral Decomposition of Portfolio Skewness and its Application to Portfolio Optimization","url":"/papers/ssrn/4540021/","summary":"A new risk measure, negative quadratic skewness, is introduced to increase portfolio skewness, providing a portfolio optimization model akin to the Markowitz model.","featured":"2023-08-17","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"Return Horizon & Investment Alpha","url":"/papers/ssrn/4539467/","summary":"Mutual funds' performance can greatly differ based on the return measurement period, with many showing negative results over longer periods.","featured":"2023-08-17","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Optimizing Portfolio Allocation","url":"/papers/ssrn/4534131/","summary":"The BlackLitterman model, BLEnd2End, uses deep learning to optimize portfolio allocation, outperforming mean-variance benchmarks and other traditional strategies.","featured":"2023-08-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Commodity Dependence and Allocation","url":"/papers/ssrn/4534370/","summary":"The study demonstrates the benefits of adding commodities to a portfolio for investors in low-commodity dependence countries.","featured":"2023-08-09","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Cross-Impact and Price Bubbles: A Two-Asset Lab-Experiment","url":"/papers/ssrn/4529978/","summary":"A study found that financial bubbles are larger and cross-market impact is more asymmetric in markets with both human and artificial agents, especially when these agents have unique portfolios.","featured":"2023-08-09","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":6,"scale":"shares"},{"title":"Displaced by Big Data: Evidence from Active Fund Managers","url":"/papers/ssrn/4527672/","summary":"The use of big data, like satellite imagery tracking firms' parking lots, can diminish the stock picking abilities of active mutual funds, implying that big data could replace high-skill workers in finance.","featured":"2023-08-02","label":"SSRN","topic":"Portfolio & Allocation","cites":4,"score":2,"scale":"shares"},{"title":"Deep Learning for Price Trend Prediction in ETF Markets","url":"/papers/ssrn/4524134/","summary":"The channel and spatial attention convolutional neural network (CSACNN) uses deep learning to predict financial market trends, performing as well or better than models using only time series data.","featured":"2023-08-02","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":181,"scale":"shares"},{"title":"Rebalanced Portfolio Optimization","url":"/papers/ssrn/4526656/","summary":"Regular intraperiod portfolio rebalancing strategies offer a unique solution to portfolio optimization problems without requiring utility or risk tradeoffs.","featured":"2023-08-02","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"Anomaly Predictability with the Mean-Variance Portfolio","url":"/papers/ssrn/4516438/","summary":"Discussed above - the study suggests that past pricing errors can predict future anomaly returns, indicating that cross-sectional models should include price information to track return dynamics over time.","featured":"2023-07-26","label":"SSRN","topic":"Portfolio & Allocation","cites":0,"score":7,"scale":"shares"},{"title":"Accounting Quality and Fund Fire Sales","url":"/papers/ssrn/4520446/","summary":"The study indicates that high accounting quality is linked to smaller fire-sale discounts, implying that good accounting practices can reduce undervaluation caused by mutual fund fire sales.","featured":"2023-07-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"ETF Pricing Dynamics","url":"/papers/ssrn/4517382/","summary":"Policymakers are exploring swing pricing, a method that adjusts a mutual fund's value based on investor activity, to mitigate financial risks from open-end mutual funds.","featured":"2023-07-26","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":88,"scale":"shares"},{"title":"Propagation of a carbon price in a credit portfolio through macroeconomic factors","url":"/papers/arxiv/2307.12695/","summary":"The study examines the impact of carbon taxes on firm value and credit risk measures in a closed economy, offering a method to calculate risk measures evolution based on a climate transition scenario.","featured":"2023-07-26","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":4,"scale":"shares"},{"title":"Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation","url":"/papers/arxiv/2307.12744/","summary":"The study highlights the importance of considering the memory effect in market correlations for improving the accuracy of forecasting models and aiding in portfolio selection.","featured":"2023-07-26","label":"arXiv","topic":"Portfolio & Allocation","cites":9,"score":3,"scale":"shares"},{"title":"Mean Field Games for Optimal Investment Under Relative Performance Criteria","url":"/papers/arxiv/2307.10540/","summary":"The paper discusses the use of the Mean Field Game framework for portfolio optimization, outlining optimal investment and consumption strategies.","featured":"2023-07-26","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Transfer Learning for Portfolio Optimization","url":"/papers/arxiv/2307.13546/","summary":"The study presents the concept of transfer risk in transfer learning techniques for financial portfolio optimization, showing its potential to improve the efficiency of the transfer learning approach.","featured":"2023-07-26","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":3,"scale":"shares"},{"title":"Strategic Bargaining and Portfolio Choice in Intermediated Markets","url":"/papers/ssrn/4512642/","summary":"The article presents a theory examining the relationship between asset prices and liquidity in dealer-intermediated markets, suggesting it's nonmonotonic.","featured":"2023-07-19","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":5,"scale":"shares"},{"title":"Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation","url":"/papers/arxiv/2307.07694/","summary":"The study finds that PPO and A2C deep reinforcement learning algorithms are more effective for portfolio optimization due to their noise handling and policy derivation capabilities, despite their high sample complexity.","featured":"2023-07-19","label":"SSRN","topic":"Portfolio & Allocation","cites":4,"score":5,"scale":"shares"},{"title":"Generative Meta-Learning Robust Quality-Diversity Portfolio","url":"/papers/arxiv/2307.07811/","summary":"The paper suggests a meta-learning method for creating a robust portfolio ensemble using a deep generative model, which balances sub-portfolio performance and correlation minimization, making it resilient to systematic shocks.","featured":"2023-07-19","label":"SSRN","topic":"Portfolio & Allocation","cites":2,"score":5,"scale":"shares"},{"title":"ESG Investing: Factor-Tilt Approach","url":"/papers/ssrn/4512638/","summary":"Factor-Tilt Approach: A new portfolio construction method incorporates Environmental, Social, and Governance (ESG) factors, showing a significant positive ESG premium in the US market.","featured":"2023-07-19","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"Self-Supervised Learning for Diversifying Portfolios","url":"/papers/ssrn/4504962/","summary":"The article discusses the use of self-supervised learning to analyze financial time series data for portfolio diversification, specifically for index tracking and minimum variance portfolio optimization.","featured":"2023-07-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":2,"scale":"shares"},{"title":"ML Predicts Fund Performance","url":"/papers/ssrn/4505281/","summary":"Machine learning can forecast top-performing mutual funds using fund characteristics, particularly fund momentum and fund flow.","featured":"2023-07-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":5001,"scale":"shares"},{"title":"Thematic Investing: Fund Performance","url":"/papers/ssrn/4501859/","summary":"Fund Performance: Mutual fund managers can outperform by using thematic investment strategies, with a higher thematic concentration index leading to significant superior performance.","featured":"2023-07-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":427,"scale":"shares"},{"title":"Market Concentration & Wealth Dynamics","url":"/papers/ssrn/4502970/","summary":"A new theory suggests that financial market concentration is dynamic, with risk and wealth distribution determining market power, and wealth changing over time due to strategic portfolio decisions.","featured":"2023-07-12","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":153,"scale":"shares"},{"title":"Action-State Dependent Dynamic Model Selection","url":"/papers/arxiv/2307.04754/","summary":"An algorithm using reinforcement learning is developed to select the best model from many, improving portfolio performance using macroeconomic and price data.","featured":"2023-07-12","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Fast Empirical Scenarios","url":"/papers/arxiv/2307.03927/","summary":"Two new algorithms are introduced to extract key scenarios from large, complex data, showing potential in portfolio optimization.","featured":"2023-07-12","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":3,"scale":"shares"},{"title":"Portfolio Optimization: A Comparative Study","url":"/papers/arxiv/2307.05048/","summary":"A study comparing three portfolio design methods found that the mean-variance portfolio is best for risk-adjusted returns, while autoencoder portfolios have the highest annual returns.","featured":"2023-07-12","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":4,"scale":"shares"},{"title":"On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management","url":"/papers/arxiv/2307.03391/","summary":"The paper presents a new adaptive portfolio management framework that merges dynamic Black-Litterman optimization with the general factor model and Elastic Net regression, showing computational benefits and promising trading results.","featured":"2023-07-12","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":2,"scale":"shares"},{"title":"A cohort-based Partial Internal Model for demographic risk","url":"/papers/arxiv/2307.03090/","summary":"The research provides formulas for measuring demographic risk in insurance portfolios and evaluating the Solvency Capital Requirement of unique and systematic risks.","featured":"2023-07-12","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":5,"scale":"shares"},{"title":"Alpha-factor Risk Parity for Global Equity FoFs","url":"/papers/repec/eee-finana-v-88-y-2023-i-c-s1057521923001709/","summary":"The study introduces a risk parity strategy for Fund-of-Funds portfolios, using a two-phase optimization technique, which provides a more stable risk-return profile, particularly in volatile and down-market periods.","featured":"2023-07-12","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":26,"scale":"shares"},{"title":"Factor-based Portfolio Optimization with Forward Returns","url":"/papers/repec/eee-ecolet-v-228-y-2023-i-c-s0165176523001623/","summary":"The research applies a factor model and machine learning to include forward-looking information in portfolio optimization, which reduces idiosyncratic noise and enhances out-of-sample performance.","featured":"2023-07-12","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":23,"scale":"shares"},{"title":"VaR and ES Forecasting in Large Portfolios: A Dynamic Factor Model Approach","url":"/papers/repec/eee-ecosta-v-27-y-2023-i-c-p-1-15/","summary":"A Dynamic Factor Model Approach: The article introduces two superior methods for predicting and estimating Value-at-Risk (VaR) and Expected Shortfall (ES) in large portfolios.","featured":"2023-07-12","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":19,"scale":"shares"},{"title":"Portfolio Entropy for Asset Allocation","url":"/papers/ssrn/4495117/","summary":"Portfolio Entropy outperforms benchmark portfolios in long-term asset allocation using ETFs, based on maximum entropy principle.","featured":"2023-07-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Machine Learning for Portfolio Optimization","url":"/papers/ssrn/4493441/","summary":"CPO is a machine learning method that beats traditional optimization in adapting to market conditions.","featured":"2023-07-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":1678,"scale":"shares"},{"title":"Time-Series Predictability in Portfolio Management","url":"/papers/ssrn/4492826/","summary":"Factor investing benefits from timeseries predictability, with managed market portfolios generating strong alphas.","featured":"2023-07-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":513,"scale":"shares"},{"title":"Increased Portfolio Transparency and Mutual Funds","url":"/papers/ssrn/4499487/","summary":"Portfolio transparency enhances investment efficiency but doesn't reduce manipulation by mutual funds.","featured":"2023-07-05","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":119,"scale":"shares"},{"title":"Data-driven Multiperiod Robust Mean-Variance Optimization","url":"/papers/arxiv/2306.16681/","summary":"Robust mean-variance optimization in portfolio selection shows promising results in the US stock market using a Wasserstein ball.","featured":"2023-07-05","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"The Frtb-Ima Computational Challenge for Equity Autocallables","url":"/papers/arxiv/2305.06215/","summary":"The Orthogonal Chebyshev Sliding Technique reduces computational costs for calculating ES values in FRTB-IMA for equity autocallable portfolios, improving efficiency.","featured":"2023-07-05","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":8,"scale":"shares"},{"title":"ASEAN-5 Initiatives and Market Portfolios","url":"/papers/repec/taf-oabmxx-v-10-y-2023-i-1-p-2167292/","summary":"ASEAN-5 equity markets still not fully integrated, volatility spillover has declined.","featured":"2023-06-28","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":18,"scale":"shares"},{"title":"Korean Active Equity ETF Performance","url":"/papers/ssrn/4473392/","summary":"Analyzing daily risk-adjusted excess performance of active Equity ETFs in Korean market.","featured":"2023-06-14","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Risk Budget Portfolios With Convex Non-negative Matrix Factorization","url":"/papers/ssrn/4474100/","summary":"Proposing a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization.","featured":"2023-06-14","label":"SSRN","topic":"Portfolio & Allocation","cites":1,"score":229,"scale":"shares"},{"title":"Emerging Market Debt Diversification","url":"/papers/ssrn/4475729/","summary":"Examining diversification of bonds on Banja Luka Stock Exchange using Markowitz's portfolio selection.","featured":"2023-06-14","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":330,"scale":"shares"},{"title":"Combining Reinforcement Learning and Barrier Functions for Adaptive Risk Management in Portfolio Optimization","url":"/papers/arxiv/2306.07013/","summary":"Reinforcement learning and barrier functions used in portfolio management framework","featured":"2023-06-14","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":5,"scale":"shares"},{"title":"Optimizing Investment Strategies with Lazy Factor and Probability Weighting: A Price Portfolio Forecasting and Mean-Variance Model with Transaction Costs Approach","url":"/papers/arxiv/2306.07928/","summary":"A new investment strategy model has been developed and tested on a dataset.","featured":"2023-06-14","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":3,"scale":"shares"},{"title":"Maximally Machine-Learnable Portfolios","url":"/papers/arxiv/2306.05568/","summary":"MACE algorithm optimizes portfolio weights for predictability and profitability in stock returns.","featured":"2023-06-14","label":"arXiv","topic":"Portfolio & Allocation","cites":5,"score":7,"scale":"shares"},{"title":"Risk Budget Portfolios With Convex Non-negative Matrix Factorization","url":"/papers/arxiv/2204.02757/","summary":"A risk factor budgeting portfolio allocation method using NMF outperforms classical methods for diversification in cryptocurrency and traditional asset portfolios.","featured":"2023-06-14","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":53,"scale":"shares"},{"title":"Measuring Transition Risk","url":"/papers/ssrn/4465908/","summary":"Investment portfolios suffer moderate losses upon materialization of high transition risk scenario, sustainable funds perform better.","featured":"2023-06-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":4,"scale":"shares"},{"title":"Machine Learning for Positive Alpha Mutual Fund Selection","url":"/papers/ssrn/4465371/","summary":"Machine learning can help select mutual fund portfolios with high out-of-sample alphas.","featured":"2023-06-07","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":1899,"scale":"shares"},{"title":"A systematic literature review on solution approaches for the index tracking problem in the last decade","url":"/papers/doi/10-1093-imaman-dpad007/","summary":"Passive management seeks practical solutions for tracking portfolios using metaheuristics.","featured":"2023-06-07","label":"arXiv","topic":"Portfolio & Allocation","cites":11,"score":7,"scale":"shares"},{"title":"Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets","url":"/papers/arxiv/2305.16712/","summary":"Article discusses construction of environment-friendly green portfolio using ESG ratings and modern portfolio theory.","featured":"2023-06-01","label":"arXiv","topic":"Portfolio & Allocation","cites":1,"score":3,"scale":"shares"},{"title":"Integrating Different Informations for Portfolio Selection","url":"/papers/arxiv/2305.17881/","summary":"New forecasting tool proposed that combines historical data with forward-looking market portfolio information and responds quickly at market turning points.","featured":"2023-06-01","label":"arXiv","topic":"Portfolio & Allocation","cites":0,"score":2,"scale":"shares"},{"title":"A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market","url":"/papers/arxiv/2305.17523/","summary":"Comparing portfolio optimization approaches on stock data","featured":"2023-06-01","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":4,"scale":"shares"},{"title":"Canonical Portfolios: Optimal Asset and Signal Combination","url":"/papers/arxiv/2202.10817/","summary":"New framework offers economic insights into optimal asset and signal combination problem.","featured":"2023-06-01","label":"arXiv","topic":"Portfolio & Allocation","cites":7,"score":17,"scale":"shares"},{"title":"Forex Market Jumps and Semivariances","url":"/papers/repec/cai-finpug-fina-pr-018/","summary":"A reliability-based design optimization framework is developed for portfolio optimization problems.","featured":"2023-06-01","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":16,"scale":"shares"},{"title":"Crowdsourcing Market Design","url":"/papers/ssrn/4451725/","summary":"Crowdsourcing proposed for optimal allocations with imperfect observations.","featured":"2023-06-01","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":539,"scale":"shares"},{"title":"Equity Return Expectations and Portfolios","url":"/papers/ssrn/4451942/","summary":"Asset managers' equity premium expectations are countercyclical.","featured":"2023-06-01","label":"SSRN","topic":"Portfolio & Allocation","cites":null,"score":659,"scale":"shares"},{"title":"Risk Budgeting Allocation for Dynamic Risk Measures","url":"/papers/arxiv/2305.11319/","summary":"Risk budgeting allocation approach developed using dynamic risk contributions and deep learning.","featured":"2023-05-24","label":"arXiv","topic":"Portfolio & Allocation","cites":17,"score":5,"scale":"shares"},{"title":"Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market","url":"/papers/arxiv/2305.12539/","summary":"Study compares VaR-based and constant proportion portfolio insurance strategies in regime-switching framework.","featured":"2023-05-24","label":"arXiv","topic":"Portfolio & Allocation","cites":6,"score":4,"scale":"shares"},{"title":"A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios","url":"/papers/arxiv/2305.12826/","summary":"VBA software component for optimal portfolio creation using two methods demonstrated with real-time series data.","featured":"2023-05-24","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":4,"scale":"shares"},{"title":"Machine Learning for Socially Responsible Portfolio Optimisation","url":"/papers/doi/10-1145-3596947-3596966/","summary":"MV model amended to consider ESG scores for socially responsible investing.","featured":"2023-05-24","label":"arXiv","topic":"Portfolio & Allocation","cites":4,"score":4,"scale":"shares"},{"title":"Effective Experience Rating for Large Insurance Portfolios via Surrogate Modeling","url":"/papers/arxiv/2211.06568/","summary":"A surrogate modeling approach is proposed to compute Bayesian credibility premiums for a given model.","featured":"2023-05-24","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":68,"scale":"shares"},{"title":"Change point detection in dynamic Gaussian graphical models: The impact of COVID-19 pandemic on the U.S. stock market","url":"/papers/arxiv/2208.00952/","summary":"A Bayesian model is developed to capture changes in dependence across US industry stock portfolios during COVID-19.","featured":"2023-05-24","label":"arXiv","topic":"Portfolio & Allocation","cites":2,"score":26,"scale":"shares"},{"title":"An Impact of Greenhouse Gas Aversion on Optimal Portfolios","url":"/papers/ssrn/4453686/","summary":"The introduction of greenhouse gas aversion into the mean-variance portfolio framework offers a new performance measure for GHG-averse investors and discusses an optimal GHGA-based MVP for the energy sector.","featured":"2023-05-24","label":"SSRN","topic":"Portfolio & 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portfolios obtained for DAX stocks.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":14,"scale":"shares"},{"title":"Forecasting High-Dimensional Portfolios","url":"/papers/repec/gam-jmathe-v-11-y-2023-i-6-p-1513-d-1102706/","summary":"New methodology for forecasting and portfolio formation in large portfolios of assets introduced, resulting in better investment performance.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":17,"scale":"shares"},{"title":"Money Laundering's Impact on Economic Performance Analysis","url":"/papers/repec/eme-csefzz-s1569-37592023000110a011/","summary":"The portfolio selection problem can be treated as a two-player game with a focus on sustainable development, according to a study.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":6,"scale":"shares"},{"title":"Smart Beta ETFs","url":"/papers/repec/gam-jjrfmx-v-14-y-2021-i-7-p-283-d-579482/","summary":"Study finds only two sub-categories of smart beta ETFs outperform traditional cap-weighted market indices.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":38,"scale":"shares"},{"title":"Optimal Diversification","url":"/papers/repec/gam-jjrfmx-v-14-y-2021-i-11-p-551-d-679488/","summary":"Paper analyzes optimal number of stocks in diversified portfolios during market turmoil.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":32,"scale":"shares"},{"title":"Shrinkage Estimator for Portfolios","url":"/papers/repec/gam-jjrfmx-v-15-y-2022-i-6-p-249-d-829749/","summary":"Study proposes shrinkage estimator for portfolio selection, outperforming traditional methods.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":25,"scale":"shares"},{"title":"Algorithm for Portfolio Optimization","url":"/papers/repec/gam-jmathe-v-10-y-2022-i-22-p-4262-d-972674/","summary":"Algorithm for active business management can increase income in animal husbandry.","featured":"2023-05-24","label":"RePEc","topic":"Portfolio & Allocation","cites":null,"score":19,"scale":"shares"}],"per_quarter":{"2023 Q2":34,"2023 Q3":67,"2023 Q4":83,"2024 Q1":66,"2024 Q2":76,"2024 Q3":60,"2024 Q4":42,"2025 Q1":70,"2025 Q2":58,"2025 Q3":17,"2025 Q4":26,"2026 Q1":1,"2026 Q2":2,"2026 Q3":7}}