cicyt UNIZAR

Portfolio Management

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
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Tue, 20 Mar 2018

[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)

Fri, 16 Mar 2018

[2]  arXiv:1803.05819 [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)

Mon, 12 Mar 2018

[3]  arXiv:1803.03573 (cross-list from q-fin.ST) [pdf, other]
Title: Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
Comments: 21 pages, 5 figures
Subjects: Statistical Finance (q-fin.ST); Portfolio Management (q-fin.PM)

Fri, 9 Mar 2018

[4]  arXiv:1803.02974 [pdf, ps, other]
Title: Optimal Portfolio Design for Statistical Arbitrage in Finance
Comments: 12 pages, 4 figures
Subjects: Portfolio Management (q-fin.PM)

Tue, 6 Mar 2018

[5]  arXiv:1803.01389 [pdf]
Title: Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations
Comments: 50 pages, 1 figure, 9 tables
Subjects: Portfolio Management (q-fin.PM); Statistical Finance (q-fin.ST)
[6]  arXiv:1803.01381 [pdf]
Title: Generalized Information Ratio
Comments: 47 pages, 1 figure, 6 tables
Subjects: Portfolio Management (q-fin.PM)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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