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Portfolio Management

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Total of 4 entries
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Fri, 21 Jun 2024 (showing 1 of 1 entries )

[1] arXiv:2406.13486 (cross-list from q-fin.MF) [pdf, html, other]
Title: Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
Duy Khanh Lam
Comments: 21 pages, working paper, first draft version (may contain errors)
Subjects: Mathematical Finance (q-fin.MF); Machine Learning (cs.LG); Probability (math.PR); Portfolio Management (q-fin.PM)

Wed, 19 Jun 2024

No updates for this time period.

Tue, 18 Jun 2024 (showing 2 of 2 entries )

[2] arXiv:2406.10695 [pdf, html, other]
Title: Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Adam Korniejczuk, Robert Ślepaczuk
Comments: 33 pages, 18 tables, 16 figures
Subjects: Portfolio Management (q-fin.PM); Trading and Market Microstructure (q-fin.TR); Machine Learning (stat.ML)
[3] arXiv:2406.10465 [pdf, html, other]
Title: Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients
Xiaomin Shi, Zuo Quan Xu
Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

Mon, 17 Jun 2024 (showing 1 of 1 entries )

[4] arXiv:2406.09578 [pdf, html, other]
Title: Dynamic Asset Allocation with Asset-Specific Regime Forecasts
Yizhan Shu, Chenyu Yu, John M. Mulvey
Subjects: Portfolio Management (q-fin.PM)

Fri, 14 Jun 2024

No updates for this time period.

Total of 4 entries
Showing up to 25 entries per page: fewer | more | all