A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Markowitz simplified portfolio returns assuming constant trade volumes.
New method corrects Markowitz variance for trading volume fluctuations.
This paper improves traditional Markowitz optimization by considering variance at multiple time scales.
We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game problem and use Hamilton-Jacobi-Bellman-Isaacs equations to find an optimal investmen…
By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of this arch-classical subject, which lays a solid mathematical groundwork of Markowitz mean-variance theory of efficient por…
Bayesian Markowitz portfolio problem shows entropy regularization is ineffective.
Naive investors make riskier choices than optimal strategies in continuous-time finance.
This study compares Markowitz and Single-Index models for Malaysian stocks.
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimiz…
Paper connects two portfolio methods, HRP and Minimum Variance, revealing their underlying similarity.
We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial. Conversely, this classification shows that, up to isomorphism, there is little that can be…
This note finds closed-form solutions for mean-risk portfolios using a specific type of mixture distribution.
A new portfolio optimization method using the Sherman-Morrison identity.
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such type of problems using a method similar to column generation. In this scheme, the o…
Unified market-based description of returns and variances of trades.
New methods incorporate alpha signals into portfolio construction, improving performance.
Robustifies Markowitz portfolios to reduce transaction costs and improve performance.
This paper optimizes portfolio selection for multivariate affine and quadratic Volterra models with rough volatilities.
Investigates mean-variance portfolio selection in non-Markovian markets.
This paper bridges Markowitz planning and deep reinforcement learning for portfolio optimization.
Markowitz's celebrated mean--variance portfolio optimization theory assumes that the means and covariances of the underlying asset returns are known. In practice, they are unknown and have to be estimated from historical data. Plugging the estimates into the efficient frontier that assumes known parameters has led to p…
Study on optimal portfolio selection with varying borrowing and saving rates in continuous-time markets.
Market-based portfolio variance measures risks using trade data.
Study analyzes portfolio performance of crypto and traditional assets.
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the market coefficients a…
This paper studies a robust continuous-time Markowitz portfolio selection pro\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This problem is formulated into a min-max mean-variance problem over a set of non-dominated probability measures that is solved by a McKean-Vlasov dy…
We formalize causal separation in portfolio theory, deriving a closed-form projected Markowitz solution.
This paper proposes a new method to optimize portfolio allocation with transaction costs using Wiener chaos expansion.
This paper presents practical methods for portfolio selection in investments.
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows. Motivated by the fact that this issue is of paramount concern to co…
Signed network models reduce portfolio risk by considering negative edges in financial markets.
The vector of periodic, compound returns of a typical investment portfolio is almost never a convex combination of the return vectors of the securities in the portfolio. As a result the ex post version of Harry Markowitz's "standard mean-variance portfolio selection model" does not apply to compound return data. We pro…
In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a po…
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal…
Optimal capital allocation between different assets is an important financial problem, which is generally framed as the portfolio optimization problem. General models include the single-period and multi-period cases. The traditional Mean-Variance model introduced by Harry Markowitz has been the basis of many models use…
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (…
Enhances portfolio construction with tailored regime forecasts for individual assets.
Improved Markowitz method handles uncertainty in return forecasts.
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV problem in high dimensions. We further show the optimality of a multivariate Gaus…
New method improves portfolio allocation using local Gaussian correlation.
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure in order to c…
Efficiently solves large portfolio optimization problems by reducing and sparsifying covariance matrices.
The paper characterizes optimal dynamic portfolios for a modified mean-variance utility.
New approach to portfolio optimization shows entropy regularization is ineffective.
Optimizes high-dimensional portfolios using joint shrinkage.
Article proposes a profitable intraday trading strategy for Chinese stocks.
The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the mean-variance optimisation (MVO) so far. In this paper, one kind of them, namely…
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation. We define the concept of Markowitz stochas…