2 citations · 2 across the 6 of their papers we have counts for
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q-fin.PM2023★ 2 cited
Portfolio Optimization Rules beyond the Mean-Variance Approach
Maxime Markov, Vladimir Markov
In this paper, we revisit the relationship between investors' utility functions and portfolio allocation rules. We derive portfolio allocation rules for asymmetric Laplace distribu…
q-fin.PM2022
The impact of big winners on passive and active equity investment strategies
Maxime Markov, Vladimir Markov
We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques. Our analys…