cicyt UNIZAR

Portfolio Management

New submissions

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New submissions for Tue, 20 Mar 18

[1]  arXiv:1803.06460 [pdf, other]
Title: Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
Comments: 7 pages, 6 figures
Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC); Machine Learning (stat.ML)

We study an optimization-based approach to con- struct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Ornstein-Uhlenbeck process with parameters estimated by maximum likelihood, (2) select portfolios with desirable characteristics of high mean reversion and low variance, and (3) select a parsimonious portfolio, i.e. find a small subset of a larger universe of assets that can be used for long and short positions. We present the full problem formulation, a specialized algorithm that exploits partial minimization, and numerical examples using both simulated and empirical price data.

Replacements for Tue, 20 Mar 18

[2]  arXiv:1803.05819 (replaced) [pdf, other]
Title: Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
Comments: Originally posted Jan 31 2017 on SSRN at this http URL
Subjects: Portfolio Management (q-fin.PM)
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