Cryptocurrency markets have much larger tail risk than traditional financial markets, and
constructing portfolios with such large tail risk assets would be challenging. Therefore …

We revisit Markowitz's mean-variance portfolio selection model by considering a
distributionally robust version, in which the region of distributional uncertainty is around the …

The sparse portfolio selection problem is one of the most famous and frequently studied
problems in the optimization and financial economics literatures. In a universe of risky …

A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which
yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The …

Moreira and Muir question the existence of a strong risk‐return trade‐off by showing that
investors can improve performance by reducing exposure to risk factors when their volatility …

We propose an optimal combining strategy to mitigate estimation risk for the popular mean-
variance portfolio choice problem in the case without a risk-free asset. We find that our …

Alternative assets have become as important as equities and fixed income in the portfolios of
major investors, and so their diversification properties are also important. However, adding …

We provide an extensive analysis of the profitability of large-scale Mean-Variance (MV)
strategies in the US stock market. Implementing MV strategies has never been so rewarding …

We consider the problem of maximizing the out-of-sample Sharpe ratio when portfolio
weights have to be estimated. We apply an improved bootstrap-based estimator, and an …

We examine which factor model best captures systematic return covariation by focusing on
the economic implications for portfolio risk control. The pairwise variance equality test and …