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 351–400 of 428 papers

TitleStatusHype
Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle—0
Neural networks-based backward scheme for fully nonlinear PDEs—0
When can we improve on sample average approximation for stochastic optimization?—0
Location and portfolio selection problems: A unified framework—0
Learning Threshold-Type Investment Strategies with Stochastic Gradient Method—0
Smart network based portfolios—0
Macroscopic theorem of the portfolio optimization problem with a risk-free asset—0
Understanding Distributional Ambiguity via Non-robust Chance Constraint—0
Many-player games of optimal consumption and investment under relative performance criteria—0
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk—0
Merton's portfolio problem under Volterra Heston model—0
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning FrameworkCode0
Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey—0
Portfolio optimization with two coherent risk measures—0
Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi Bellman equation—0
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment—0
Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation—0
Minimal Investment Risk with Cost and Return Constraints: A Replica Analysis—0
Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments—0
Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization—0
Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment—0
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning—0
A Big data analytical framework for portfolio optimization—0
Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization—0
On the solution uniqueness in portfolio optimization and risk analysis—0
A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality—0
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching—0
Portfolio Optimization in Fractional and Rough Heston Models—0
Pairs Trading under Drift Uncertainty and Risk Penalization—0
Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization—0
Compositional Stochastic Average Gradient for Machine Learning and Related Applications—0
Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid ModelCode0
Reweighted Price Relative Tracking System for Automatic Portfolio Optimization—0
Learning to Optimize Contextually Constrained Problems for Real-Time Decision-Generation—0
A refinement of Bennett's inequality with applications to portfolio optimization—0
Scaling properties of extreme price fluctuations in Bitcoin markets—0
Computation of optimal transport and related hedging problems via penalization and neural networksCode0
Stock market as temporal network—0
Optimal portfolios with anticipating information on the stochastic interest rate—0
Smart "Predict, then Optimize"Code0
Sparse Portfolio Selection via the sorted _1-Norm—0
Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations—0
Random matrix approach for primal-dual portfolio optimization problems—0
Portfolio Optimization with Entropic Value-at-Risk—0
Fractal Optimization of Market Neutral Portfolio—0
Optimal shrinkage-based portfolio selection in high dimensions—0
Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance—0
Replica Analysis for the Duality of the Portfolio Optimization Problem—0
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization—0
Maximizing and Minimizing Investment Concentration with Constraints of Budget and Investment Risk—0
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Benchmark Results

#ModelMetricClaimedVerifiedStatus
1Different modelPortfolio1—Unverified