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Portfolio Management

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
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Thu, 21 Sep 2017

[1]  arXiv:1709.06641 [pdf, ps, other]
Title: Dead Alphas as Risk Factors
Comments: 9 pages; to appear as an Invited Editorial in Journal of Asset Management
Subjects: Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)

Wed, 20 Sep 2017

[2]  arXiv:1709.06296 [pdf, other]
Title: Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
Subjects: Portfolio Management (q-fin.PM)

Tue, 19 Sep 2017

[3]  arXiv:1709.05529 (cross-list from cs.SY) [pdf, ps, other]
Title: Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
Comments: 32 Pages, 2 Figures
Subjects: Systems and Control (cs.SY); Portfolio Management (q-fin.PM)

Fri, 15 Sep 2017

[4]  arXiv:1709.04620 [pdf, ps, other]
Title: Random matrix approach for primal-dual portfolio optimization problems
Comments: 24 pages, 4 figures
Subjects: Portfolio Management (q-fin.PM); Disordered Systems and Neural Networks (cond-mat.dis-nn); Computational Engineering, Finance, and Science (cs.CE); Learning (cs.LG); Optimization and Control (math.OC)

Thu, 14 Sep 2017

[5]  arXiv:1709.04415 [pdf, other]
Title: Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection
Comments: 15 pages, 2 figures. This is one of the student project papers arsing from the Mathematics REU program at Dartmouth 2017 Summer. See this https URL for more info. Comments are always welcome
Subjects: Portfolio Management (q-fin.PM)
[6]  arXiv:1709.04387 (cross-list from q-fin.MF) [pdf, ps, other]
Title: Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Comments: 36 pages
Subjects: Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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