118 citations · 118 across the 3 of their papers we have counts for
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q-fin.PM2016
Portfolio Optimization in the Stochastic Portfolio Theory Framework
Vassilios Papathanakos
I discuss some theoretical results with a view to motivate some practical choices in portfolio optimization. Even though the setting is not completely general (for example, the cov…
q-fin.PM2016
Trading-profit attribution for the size factor
Vassilios Papathanakos
An algorithm was recently introduced by INTECH for the purposes of estimating the trading-profit contribution of systematic rebalancing to the relative return of rules-based invest…