Portfolio Management

Authors and titles for recent submissions

• Fri, 22 Nov 2024
• Thu, 21 Nov 2024
• Wed, 20 Nov 2024
• Tue, 19 Nov 2024
• Mon, 18 Nov 2024

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Fri, 22 Nov 2024 (showing 3 of 3 entries )

[1] arXiv:2411.13792 [pdf, html, other]

Title: Multiscale Markowitz

Revant Nayar, Raphael Douady

Subjects: Portfolio Management (q-fin.PM); Chaotic Dynamics (nlin.CD); Mathematical Finance (q-fin.MF)

[2] arXiv:2411.13965 (cross-list from q-fin.TR) [pdf, html, other]

Title: Does the square-root price impact law belong to the strict universal scalings?: quantitative support by a complete survey of the Tokyo stock exchange market

Yuki Sato, Kiyoshi Kanazawa

Comments: 28 pages, 16 figures

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech); General Economics (econ.GN); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)

[3] arXiv:2411.13579 (cross-list from q-fin.MF) [pdf, other]

Title: Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints

Wenyuan Wang, Kaixin Yan, Xiang Yu

Comments: Keywords: Periodic evaluation, relative portfolio performance, incomplete market, stochastic factor model, convex trading constraints, convex duality approach. This manuscript combines two previous preprints arXiv:2311.12517 and arXiv:2401.14672 into one paper with more general and improved results

Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Portfolio Management (q-fin.PM)

Thu, 21 Nov 2024 (showing 1 of 1 entries )

[4] arXiv:2411.13180 [pdf, other]

Title: Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence

Szymon Lis

Subjects: Portfolio Management (q-fin.PM)

Wed, 20 Nov 2024 (showing 1 of 1 entries )

[5] arXiv:2411.12323 [pdf, html, other]

Title: Mirror Descent Algorithms for Risk Budgeting Portfolios

Martin Arnaiz Iglesias (UP1 UFR27), Adil Rengim Cetingoz (UP1 UFR27), Noufel Frikha (UP1 UFR27)

Subjects: Portfolio Management (q-fin.PM); Probability (math.PR); Risk Management (q-fin.RM)

Tue, 19 Nov 2024

No updates for this time period.

Mon, 18 Nov 2024 (showing 1 of 1 entries )

[6] arXiv:2411.09899 [pdf, html, other]

Title: Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks

Yaacov Kopeliovich, Michael Pokojovy

Comments: 14 pages, 5 figures

Journal-ref: Finance Research Letters, Volume 69, Part B, 2024, 106185, ISSN 1544-6123

Subjects: Portfolio Management (q-fin.PM); Computational Finance (q-fin.CP)