A unified framework for fast large-scale portfolio optimization
W Deng, P Polak, A Safikhani, R Shah - Data Science in Science, 2024 - Taylor & Francis
We introduce a unified framework for rapid, large-scale portfolio optimization that
incorporates both shrinkage and regularization techniques. This framework addresses …
incorporates both shrinkage and regularization techniques. This framework addresses …
Smoothing Out Momentum and Reversal
S Chitsiripanich, MS Paolella, P Polak… - Swiss Finance Institute …, 2024 - papers.ssrn.com
We introduce new path-dependent constraints within a sequential portfolio optimization
framework designed to reduce turnover in frequently rebalanced investment strategies, such …
framework designed to reduce turnover in frequently rebalanced investment strategies, such …
A note on the fractional momentum strategy
S Kim, H Kim - Applied Economics Letters, 2024 - Taylor & Francis
The momentum strategy has been existent for a long time and under numerous versions all
of which is based on some form of the past return. It was noted recently that this metric of …
of which is based on some form of the past return. It was noted recently that this metric of …