19 citations · 42 across the 5 of their papers we have counts for
Showing 2016 · q-fin.PMShow all
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q-fin.PM2016
LQG for portfolio optimization
M. Abeille, E. Serie, A. Lazaric +1
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the p…
q-fin.PM2016
Agnostic Risk Parity: Taming Known and Unknown-Unknowns
Raphael Benichou, Yves Lempérière, Emmanuel Sérié +4
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on sym…