108 citations · 435 across the 38 of their papers we have counts for
4 papers · 1 filter
The efficient frontiers of mean-variance portfolio rules under distribution misspecification
Andrew Paskaramoorthy, Tim Gebbie, Terence van Zyl
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance. Here, we consider the performance of various shrinkag…
Geometric insights into robust portfolio construction
Lara Dalmeyer, Tim Gebbie
We investigate and extend the result that an alpha-weight angle from unconstrained quadratic portfolio optimisations has an upper bound dependent on the condition number of the cov…
A Framework for Online Investment Algorithms
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a…
Systematic Asset Allocation using Flexible Views for South African Markets
Ann Sebastian, Tim Gebbie
We implement a systematic asset allocation model using the Historical Simulation with Flexible Probabilities (HS-FP) framework developed by Meucci. The HS-FP framework is a flexibl…