Multiperiod financial models provide superior capabilities over single-period myopic
approaches but, in general, suffer from the curse of dimensionality. Prominent features …

Portfolio diversification involves lowering the correlation between portfolio assets to achieve
improved risk–return exposure. It is reasonable to infer from the classic Anscombe quartet …

The traditional single-period mean-variance model has been the mainstay of portfolio theory
for almost 50 years. Despite its wide-ranging success, the single-period framework suffers …

Leading pension plans employ asset and liability management systems for optimizing their
strategic decisions. The multi-stage models link asset allocation decisions with payments to …

We propose a new stock selection strategy that exploits rebalancing returns and improves
portfolio performance. To effectively harvest rebalancing gains, we apply ideas from elliptical …

Portfolio management is among the most important problems in quantitative finance, with
large audience from individuals to institutional investors. Multi-period financial models …

Abstract Enterprise Risk Management (ERM) involves a systematic approach for evaluating
and controlling risks within a large organization. Application domains include banks …

We study the finite-horizon dynamic portfolio model involving mean reverting (Ornstein-
Uhlenbeck) assets in the presence of transaction costs. The goal is to maximize the …

The US equity markets have dramatically evolved over the last decade. The evolution has
been fueled by the rapid advance of technology, changes to market structure, increased …

Hedge funds have been popular in the past decade due to the unique return opportunities
they provide. They can invest in any financial instrument, take long-short positions and …