Improving performance for long-term investors: wide diversification, leverage, and overlay strategies

DOI10.1080/14697680701198028zbMath1278.91148OpenAlexW2008846596MaRDI QIDQ3593602

Zhuojuan Zhang, Cenk Ural, John M. Mulvey

Publication date: 23 July 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701198028

zbMATH Keywords

asset allocationfinancial optimizationdynamic portfolio modelsmulti-strategy hedge funds

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (5)

Performance Enhancements for Defined Benefit Pension Plans ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ DC pension fund benchmarking with fixed-mix portfolio optimization ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ A semiparametric graphical modelling approach for large-scale equity selection

Cites Work

• Parameter estimation in stochastic scenario generation systems
• Risk, Return, and Utility
• Dynamic capital allocation: exploiting persistent patterns in currency performance

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