Portfolio Volatility Spillover

GS Konstantinov, FJ Fabozzi - International Journal of Theoretical …, 2022 - World Scientific
In this paper, the authors estimate portfolio volatilities and use variance− decomposition
techniques and Cholesky factorization to construct a portfolio volatility spillover index …

Portable Beta and Total Portfolio Management

S Cavaglia, JH Fan, Z Wang - Financial Analysts Journal, 2022 - Taylor & Francis
Abstract Alternative Risk Premia (ARP) strategies have traditionally been sold as stand-
alone products to complement a reference portfolio. We illustrate how ARP can be …

How Inefficient is the 1/N Strategy for a Factor Investor?

K Khang, A Picca, S Zhang, M Zhu - Forthcoming, Journal of …, 2021 - papers.ssrn.com
The last decade's dramatic democratization of factor investing has broadened its investor
base to individual investors and their advisors. This paper studies the performance of classic …

Customised Investment Optimization Using Genetic Algorithms

M Al Ali, S Al Dossari - 2023 - repository.rit.edu
Portfolio selection is an important part of fund management as it contributes to investors'
economic growth. Investing is investing money to obtain an additional or specific advantage …