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Found 8 papers, 0 papers with code
New approximate stochastic dominance approaches for Enhanced Indexation models
We prove that our EI model based on OWA selects portfolios that dominate a given benchmark through this new form of stochastic dominance criterion.
A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach
We focus on a behavioral model, that has been recently proposed in the literature, whose rational can be traced back to the Half-Full/Half-Empty glass metaphor.
Managing ESG Ratings Disagreement in Sustainable Portfolio Selection
For the ESG evaluation of the securities in the market, we consider more than one agency and propose a new approach to overcome the problem related to the disagreement between the ESG ratings by different agencies.
A return-diversification approach to portfolio selection
In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return.
Non-parametric cumulants approach for outlier detection of multivariate financial data
In this paper, we propose an outlier detection algorithm for multivariate data based on their projections on the directions that maximize the Cumulant Generating Function (CGF).
Straightening skewed markets with an index tracking optimizationless portfolio
Then, assuming that the returns follow skew geometric Brownian motions and that they are correlated, we describe some statistical properties for the \emph{ex-post}, the \emph{ex-ante} tracking errors, and the forecasted tracking portfolio.
Mean-Variance-VaR portfolios: MIQP formulation and performance analysis
We thus obtain a portfolio selection model characterized by three criteria: expected return, variance, and VaR at a specified confidence level.
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.
