Risks and returns of cryptocurrency

Y Liu, A Tsyvinski - The Review of Financial Studies, 2021 - academic.oup.com
We establish that cryptocurrency returns are driven and can be predicted by factors that are
specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency …

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

V DeMiguel, L Garlappi, R Uppal - The review of Financial …, 2009 - academic.oup.com
We evaluate the out-of-sample performance of the sample-based mean-variance model,
and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of …

Global portfolio optimization

F Black, R Litterman - Financial analysts journal, 1992 - Taylor & Francis
Consideration of the global CAPM equilibrium can significantly improve the usefulness of
these models. In particular, equilibrium returns for equities, bonds and currencies provide …

The promises and pitfalls of robo-advising

F D'Acunto, N Prabhala, AG Rossi - The Review of Financial …, 2019 - academic.oup.com
We study the introduction of a wealth-management robo-adviser that constructs portfolios
tailored to investors' holdings and preferences. Adopters are similar to non-adopters in terms …

60 years of portfolio optimization: Practical challenges and current trends

PN Kolm, R Tütüncü, FJ Fabozzi - European Journal of Operational …, 2014 - Elsevier
The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms

V DeMiguel, L Garlappi, FJ Nogales… - Management …, 2009 - pubsonline.informs.org
We provide a general framework for finding portfolios that perform well out-of-sample in the
presence of estimation error. This framework relies on solving the traditional minimum …

Robust portfolio selection problems

D Goldfarb, G Iyengar - Mathematics of operations research, 2003 - pubsonline.informs.org
In this paper we show how to formulate and solve robust portfolio selection problems. The
objective of these robust formulations is to systematically combat the sensitivity of the …

Portfolio selection with parameter and model uncertainty: A multi-prior approach

L Garlappi, R Uppal, T Wang - The Review of Financial Studies, 2007 - academic.oup.com
We develop a model for an investor with multiple priors and aversion to ambiguity. We
characterize the multiple priors by a “confidence interval” around the estimated expected …

[BOOK][B] Machine learning for asset managers

MML de Prado - 2020 - cambridge.org
Successful investment strategies are specific implementations of general theories. An
investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset …

[BOOK][B] Introduction to risk parity and budgeting

T Roncalli - 2013 - books.google.com
Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …