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q-fin.PM2024
Portfolio optimisation: bridging the gap between theory and practice
Cristiano Arbex Valle
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio…
q-fin.CP2024
Subset second-order stochastic dominance for enhanced indexation with diversification enforced by sector constraints
Cristiano Arbex Valle, John E Beasley, Nigel Meade
In this paper we apply second-order stochastic dominance (SSD) to the problem of enhanced indexation with asset subset (sector) constraints. The problem we consider is how to const…