Portfolio Management

Authors and titles for recent submissions

• Thu, 14 Nov 2024
• Wed, 13 Nov 2024
• Tue, 12 Nov 2024
• Mon, 11 Nov 2024
• Fri, 8 Nov 2024

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Thu, 14 Nov 2024 (showing 1 of 1 entries )

[1] arXiv:2411.08864 [pdf, html, other]

Title: Isotropic Correlation Models for the Cross-Section of Equity Returns

Graham L. Giller

Comments: 24 pages, 5 figures, code is available on the author's personal GitHub repository, code executes in Google's Colab system and generates figures from live data downloaded from Yahoo! Finance

Subjects: Portfolio Management (q-fin.PM)

Wed, 13 Nov 2024 (showing 1 of 1 entries )

[2] arXiv:2411.07949 (cross-list from math.OC) [pdf, html, other]

Title: Optimization Thresholding Problem

Chutian Ma, Paul Smith

Subjects: Optimization and Control (math.OC); Probability (math.PR); Portfolio Management (q-fin.PM)

Tue, 12 Nov 2024 (showing 3 of 3 entries )

[3] arXiv:2411.06566 [pdf, html, other]

Title: A Fully Analog Pipeline for Portfolio Optimization

James S. Cummins, Natalia G. Berloff

Comments: 7 pages, 4 figures, accepted to NeurlPS 2024

Subjects: Portfolio Management (q-fin.PM); Disordered Systems and Neural Networks (cond-mat.dis-nn); Computational Engineering, Finance, and Science (cs.CE); Optics (physics.optics); Quantum Physics (quant-ph)

[4] arXiv:2411.06080 [pdf, html, other]

Title: The lexical ratio: A new perspective on portfolio diversification

Sayyed Faraz Mohseni, Hamid R. Arian, Jean-François Bégin

Subjects: Portfolio Management (q-fin.PM); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)

[5] arXiv:2411.05807 [pdf, html, other]

Title: Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios

Peter Cotton

Subjects: Portfolio Management (q-fin.PM); Mathematical Finance (q-fin.MF)

Mon, 11 Nov 2024

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Fri, 8 Nov 2024

No updates for this time period.