Concept
Portfolio optimization
Related publications (77)
Portfolio Construction with Hierarchical Momentum
This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...
Pageant Media Ltd2024Greening the Swiss National Bank's Portfolio
Rüdiger Fahlenbrach, Eric Jondeau
Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...
OXFORD UNIV PRESS2023A machine learning approach to portfolio pricing and risk management for high-dimensional problems
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...
WILEY2022Conditional Synthetic Financial Time Series with Generative Adversarial Networks
The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...
2022A contagion process with self-exciting jumps in credit risk applications
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
TAYLOR & FRANCIS LTD2022Asset Pricing and Monetary Policy
Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...
EPFL2022Mean-Covariance Robust Risk Measurement
Daniel Kuhn, Damir Filipovic, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population dis ...
2021Combatting climate change through a portfolio of approaches
Marie-Valentine Renée Agnès Florin
Given the urgency of deploying all possible ways to combat climate change, and in light of lessons learned from the Covid-19 pandemic outbreak that it was a mistake to ignore signals and not prepare for worst-case scenarios, this article suggests that tech ...
International Risk Governance Center (IRGC)2021Transgenic Model Systems Have Revolutionized the Study of Disease
Alexandre Gauthier Aurèle Mayran, Christopher Chase Bolt
The current pandemic caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has affected most of the world in a profound way. As an indirect consequence, the general public has been put into direct contact with the research process, almost ...
MARY ANN LIEBERT, INC2021Essays in Banking and Financial Regulation
Susanne Johanna Petronella Léonie Vissers
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
EPFL2021