On-device research index

arXiv research

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.

168,742 papers · 148 categories

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2 results for “under-diversification”

Sparse spanning portfolios and under-diversification with second-order stochastic dominanceecon.EM

New methods show sparse portfolios offer no advantage over mean-variance in diversification.

problem Investment diversification and risk management with sparse portfolios.

method Developed and implemented a new estimation procedure for sparse second-order stochastic spanning using a greedy algorithm and Linear Programming.

result No benefit from expanding a sparse opportunity set beyond 45 assets; optimal sparse portfolio reduces tail risk.

sparse portfolios second-order stochastic dominance diversification risk management under-diversification

2024-02-02abs ↗pdf ↗

Portfolio diversification and model uncertainty: a robust dynamic mean-variance approachq-fin.PM

This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and correlation matrix of the assets, and for studying the join effects on portfolio diversifi…

2018-09-05abs ↗pdf ↗