Keyword: portfolio optimization

Found 29 papers in total
A maximal predictability portfolio using absolute deviation reformulation
A maximal predictability portfolio using absolute deviation reformulation
2010,
This paper shows that a large-scale maximal predictability portfolio (MPP)...
Optimizing Omega
Optimizing Omega
2009,
This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as...
Risk-sensitive portfolio optimization problems with fixed income securities
Risk-sensitive portfolio optimization problems with fixed income securities
2009,
We discuss a class of risk-sensitive portfolio optimization problems. We consider the...
Optimal Bayesian portfolios of hedge funds
Optimal Bayesian portfolios of hedge funds
2009,
Hedge fund returns are not normally distributed. Hedge fund styles related to...
A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms
A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms
2009,
We provide a general framework for finding portfolios that perform well out-of-sample...
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