We consider an asset allocation problem where funds must be allocated to six broad classes of assets—equity, corporate bonds, government bonds, listed real estate, gold, and commodities—each represented by a liquid, predominantly US publi...
This paper develops a novel hybrid framework that integrates clustering-enhanced Particle Swarm Optimization (PSO) with stretching techniques to solve Markowitz’s quadratic portfolio optimization problem. The proposed approach avoids local opti...
In the era of big data and rapid information growth, investors encounter a complex financial environment characterized by extensive data, conflicting investment objectives, and markets that are unpredictable due to economic and policy fluctuations. H...
This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc’s defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing o...
Portfolio optimization is a fundamental problem in financial theory, aiming to balance risk and return in asset allocation. Traditional models, such as Mean–Variance optimization, are effective, but often fail to account for diversification ade...
This study proposes a novel hybrid framework that integrates a jump model with model predictive control (JM-MPC) for dynamic asset allocation under regime-switching market conditions. The proposed approach leverages the jump model to identify distinc...
Life cycle asset allocation is a crucial aspect of financial planning, especially for pension funds. Traditional methods often face challenges in computational efficiency and applicability to different market conditions. This study aimed to innovativ...
The rise of cryptocurrencies presents a number of challenges for the classical toolkit of portfolio optimization. This study examines how a Bayesian statistical framework can be used to construct multi-asset portfolios based on weekly returns of the...
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the sel...
This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to the existing liter...
An asset allocation optimization model for key clients and financial products is developed and deployed on a business platform by compiling a program to a module using MATLAB to show how to integrate financial big data and fintech in a real applicati...
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing...
This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean–variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-taile...
We propose a novel model to achieve superior out-of-sample Sharpe ratios. While most research in asset allocation focuses on estimating the return vector and covariance matrix, the first component of our novel model instead forecasts the future tange...
This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we...
We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive desi...
The allocation of pension funds has important theoretical value and practical significance, which improves the level of pension investment income, achieves the maintenance and appreciation of pension funds, and resolves the pension payment risk cause...
As a form of long-term asset allocation, pension fund investment necessitates accurate estimation of both asset returns and associated risks over extended time horizons. However, long-term asset returns are significantly influenced by macroeconomic f...
This article aims to investigate the impact of sustainable assets on dynamic portfolio optimization under varying levels of investor risk aversion, particularly during turbulent market conditions. The analysis compares the performance of two portfoli...
In the more than 70 years since Markowitz introduced mean-variance optimization for portfolio construction, academics and practitioners have documented numerous weaknesses in the approach. In this paper, we propose two easily understandable improveme...
There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estima...
Little in the scholarly economics literature is directed specifically to the performance of stable value funds, although they occupy a leading place among retirement investment vehicles. They are currently offered in more than one-third of all define...
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observa...
This article combines the traditional definition of portfolio risk with minimum-spanning-tree-based “interconnectedness risk” to improve equal risk contribution portfolio performance. We use betweenness centrality to measure an asset&rsqu...
Portfolio reinforcement learning (RL) commonly represents each action as a complete asset-weight vector, causing the action dimension and exploration difficulty to grow with the investment universe. This study proposes FrontierStep-RL, which replaces...
This survey offers a succinct overview of the General Framework of Portfolio Theory (GFPT), consolidating Markowitz portfolio theory, the growth optimal portfolio theory, and the theory of risk measures. Central to this framework is the use of convex...
Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pensi...
This paper proposes a Methodology for Assets Selection in Investment Portfolios (MASIP) focused on creating investment portfolios using heuristic algorithms based on the Markowitz and Sharpe models. MASIP selects and allocates financial assets by app...
In the realm of financial management, optimizing the allocation of funds in banking companies is vital to their operational efficiency. Banks manage their funds by allocating them into reserve and credit funds as the main activities of banking. Optim...
Operations and maintenance optimization are primary issues in Facility Management (FM). Moreover, the increased complexity of the digitized assets leads Facility Managers to the adoption of interdisciplinary metrics that are able to measure the pecul...
Institutional investors increasingly value alternative assets in strategic asset allocation, with private debt emerging as a key asset class. However, its shortage of market history has hindered the development of standardized proxy benchmarks. For t...
Against the backdrop of the deep integration of the “Dual Carbon” goals and the digital economy, whether digital asset allocation can improve corporate Environmental, Social, and Governance (ESG) performance has become an important topic...
This paper is concerned with the optimal investment strategy for a defined contribution (DC) pension plan. We assumed that the financial market consists of a risk-free asset and a risky asset, where the risky asset is subject to the Ornstein–Uhlenbec...
Means-tested pension policies are typical for many countries, and the assessment of policy changes is critical for policy makers. In this paper, we consider the Australian means-tested Age Pension. In 2015, two important changes were made to the popu...
Multi-asset portfolio optimization under non-stationary financial markets requires robust state representations across market phase transitions. This paper proposes distribution-robust graph representation learning for portfolio optimization (DR-GRL-...
We improve the traditional simple moving average strategy by incorporating an investor-specific risk tolerance into the method. We then propose a multiasset generalized moving average crossover (MGMA) strategy. The MGMA strategies allocate wealth bet...
Quadratic programming (QP) formulations are widely used in optimal investment portfolio selection, a central problem in financial decision-making. In practice, asset allocation decisions operate at two interconnected levels: the strategic level, whic...
This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe r...
Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset allocation on investor’s risk aversion, various portfolio construction methods have been proposed. Recently, the applications of machine learning are...
Relocatable modular buildings (RMBs) offer significant advantages, including flexibility, mobility, and scalability, making them ideal for temporary or rapidly changing scenarios. However, as the scale and quantity of RMB modules increase, their allo...
This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distrib...
The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to...
This paper examines an optimal investment–consumption problem in a setting where the financial environment is influenced by both stochastic factors and delayed effects. The investor, endowed with Constant Relative Risk Aversion (CRRA) preferenc...
Recently, different methods have been proposed for portfolio optimization and decision making on investment issues. This article aims to present a new method for portfolio formation based on Data Envelopment Analysis (DEA) and Entropy function. This...
Data governance aims to optimize the value derived from data assets and effectively mitigate data-related risks. The rapid growth of data assets increases the risk of data breaches. One key solution to reduce this risk is to classify data assets acco...
This study examines whether portfolio optimization can be effectively based on annual changes in the harmonized index of consumer prices (HICP) data. Specifically, we assess whether asset allocation based on consumer expenditure can generate superior...
To ensure the success of a pension plan under a self-contained defined contribution (DC) retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial for risk diversification and the efficient improvement of a fun...
This work looks for the optimal allocation of different assets, namely, the G7 stock indices, commodities (gold and WTI crude oil), cryptocurrencies (Bitcoin and Ripple), and S&P Green Bond, over four periods: before the COVID-19 crisis, during t...
We study a finite-horizon optimal job-switching and portfolio allocation problem where an agent faces a mandatory retirement date. The agent can freely switch between two jobs with differing levels of income and leisure. The financial market consists...
This study explores how surprise shocks in Indonesia’s macroeconomic environment—specifically interest rates, inflation, and exchange rates—affect the returns and volatility of key financial assets, including gold, Bitcoin (BTC), st...
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