Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

Machine learning (ML) is progressively reshaping the fields of quantitative finance and
algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers …

Given the tremendous growth of factor allocation strategies in active and passive fund
management, we investigate whether factor or sector asset allocation strategies provide …

This paper presents a novel ensemble learning framework inspired by modern portfolio
optimization to address regression problems. This formulation in the ensemble learning field …

Portfolio Diversification provides an update on the practice of combining several risky
investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book …

New diversification strategies, along with other naive strategies as 1/N portfolios, have been
proposed in the literature as a method for overcoming concentration limitations of the mean …

Short selling is a wealth-building trading procedure which, when included in the portfolio
construction, not only helps increase the return on investment but also reduces the investor's …

We show that the introduction of a leverage constraint improves the practical implementation
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …

The mean-variance (MV) portfolio is typically formulated as a quadratic programming (QP)
problem that linearly combines the conflicting objectives of minimizing the risk and …

With greater economic and financial market integration, it is critical for asset managers to
choose the investment universe that provides superior diversification and performance …