6 papers
A Mathematical Optimization Approach for Expert-Informed Bayesian Best Subset Selection
Nolan Alexander, Henning Mortveit
A central challenge in statistical modeling is identifying the subset of features that belong in the true regression model. The classical best subset selection problem, recently ma…
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
Nolan Alexander, Frank Fabozzi
This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk. Using a leave-one-out rep…
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
Nolan Alexander, Frank Fabozzi
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk meas…
Forecasting Tangency Portfolios and Investing in the Minimum Euclidean Distance Portfolio to Maximize Out-of-Sample Sharpe Ratios
Nolan Alexander, William Scherer
We propose a novel model to achieve superior out-of-sample Sharpe ratios. While most research in asset allocation focuses on estimating the return vector and covariance matrix, the…
Asset allocation using a Markov process of clustered efficient frontier coefficients states
Nolan Alexander, William Scherer, Jamey Thompson
We propose a novel asset allocation model using a Markov process of states defined by clustered efficient frontier coefficients. While most research in Markov models of the market…
Using Machine Learning to Forecast Market Direction with Efficient Frontier Coefficients
Nolan Alexander, William Scherer
We propose a novel method to improve estimation of asset returns for portfolio optimization. This approach first performs a monthly directional market forecast using an online deci…