SOTAVerified

Portfolio Optimization

Portfolio management is the task of obtaining higher excess returns through the flexible allocation of asset weights. In reality, common examples are stock selection and the Enhanced Index Fund (EIF). The general solution of portfolio management is to score the potential of assets, buy assets with upside potential and increase their weighting, and sell assets that are likely to fall or are relatively weak. A large number of strategies have been proposed for portfolio management.

Papers

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Showing 226–250 of 428 papers

TitleStatusHype
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation—0
Efficient differentiable quadratic programming layers: an ADMM approach—0
Mesoscopic Structure of the Stock Market and Portfolio Optimization—0
Recent Advances in Reinforcement Learning in Finance—0
Deep differentiable reinforcement learning and optimal trading—0
A Surrogate Objective Framework for Prediction+Programming with Soft Constraints—0
RPS: Portfolio Asset Selection using Graph based Representation LearningCode0
On the systemic nature of global inflation, its association with equity markets and financial portfolio implications—0
A Surrogate Objective Framework for Prediction+Optimization with Soft ConstraintsCode1
Portfolio optimization with idiosyncratic and systemic risks for financial networks—0
Mean-Variance-VaR portfolios: MIQP formulation and performance analysis—0
A Universal End-to-End Approach to Portfolio Optimization via Deep Learning—0
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models—0
Stock Portfolio Optimization Using a Deep Learning LSTM Model—0
Keep it Tighter -- A Story on Analytical Mean Embeddings—0
High-dimensional Portfolio Optimization using Joint Shrinkage—0
Closed-form portfolio optimization under GARCH models—0
Continuous-time Portfolio Optimization for Absolute Return Funds—0
Machine Learning and Factor-Based Portfolio Optimization—0
End-to-End Risk Budgeting Portfolio Optimization with Neural Networks—0
Improved Regret Bounds for Tracking Experts with Memory—0
Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market—0
Sectoral portfolio optimization by judicious selection of financial ratios via PCA—0
Quantum Portfolio Optimization with Investment Bands and Target Volatility—0
Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation—0
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Benchmark Results

#ModelMetricClaimedVerifiedStatus
1Different modelPortfolio1—Unverified