Risk parity with expectiles
A recent popular approach to portfolio selection aims at diversifying risk by looking for the so
called Risk Parity portfolios. These are defined by the condition that the risk contributions of …
called Risk Parity portfolios. These are defined by the condition that the risk contributions of …
Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning
Z Wu, L Yang, Y Fei, X Wang - Expert Systems with Applications, 2023 - Elsevier
In the context of global sustainable development, environmental, social, and governance
(ESG) investment has become a frontier topic in the field of asset management. This paper …
(ESG) investment has become a frontier topic in the field of asset management. This paper …
An optimization–diversification approach to portfolio selection
The classical approaches to optimal portfolio selection call for finding a feasible portfolio that
optimizes a risk measure, or a gain measure, or a combination thereof by means of a utility …
optimizes a risk measure, or a gain measure, or a combination thereof by means of a utility …
Performance analysis of the integration between Portfolio Optimization and Technical Analysis strategies in the Brazilian stock market
BC Barroso, RTN Cardoso, MK Melo - Expert Systems with Applications, 2021 - Elsevier
This article proposes a fusion between Technical Analysis indicators and Multiobjective
Portfolio Optimization. It considers four indicators and the optimization performed over two …
Portfolio Optimization. It considers four indicators and the optimization performed over two …
Comparing SSD-efficient portfolios with a skewed reference distribution
Portfolio selection models based on second-order stochastic dominance (SSD) have the
advantage of providing portfolios that reflect the behavior of risk-averse investors without the …
advantage of providing portfolios that reflect the behavior of risk-averse investors without the …
Split Bregman iteration for multi-period mean variance portfolio optimization
This paper investigates the problem of defining an optimal long-term investment strategy,
where the investor can exit the investment before maturity without severe loss. Our setting is …
where the investor can exit the investment before maturity without severe loss. Our setting is …
Mean-CVaR portfolio optimization approaches with variable cardinality constraint and rebalancing process
FGDC Ferreira, RTN Cardoso - Archives of Computational Methods in …, 2021 - Springer
Abstract This work compares Mean-CVaR portfolio optimization models with variable
cardinality constraint and rebalancing process. It considers integer and continuous decision …
cardinality constraint and rebalancing process. It considers integer and continuous decision …
On the stability of portfolio selection models
F Cesarone, F Mango, CD Mottura, JM Ricci… - Journal of Empirical …, 2020 - Elsevier
One of the main issues in portfolio selection models consists in assessing the effect of the
estimation errors of the parameters required by the models on the quality of the selected …
estimation errors of the parameters required by the models on the quality of the selected …
[HTML][HTML] Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
F Cesarone, J Puerto - European Journal of Operational Research, 2024 - Elsevier
In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which
are based on stochastic dominance relations. The goal is to select portfolios that …
are based on stochastic dominance relations. The goal is to select portfolios that …
MAD risk parity portfolios
In this paper, we investigate the features and the performance of the risk parity (RP)
portfolios using the mean absolute deviation (MAD) as a risk measure. The RP model is a …
portfolios using the mean absolute deviation (MAD) as a risk measure. The RP model is a …