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JRFM
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Portfolio Selection and Risk Analytics
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Portfolio Selection and Risk Analytics

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: 30 September 2024 | Viewed by 758

Special Issue Editors

Prof. Dr. Nalin Chanaka Edirisinghe

E-Mail Website
Guest Editor
Lally School of Management, Rensselaer Polytechnic Institute, Troy, NY 12180, USA
Interests: portfolio optimization; index tracking funds design; quadratic programming and market impact of trading; derivative pricing
Dr. Jaehwan Jeong

E-Mail Website
Guest Editor
Department of Management, Radford University, Radford, VA, USA
Interests: optimization; mathematical modeling; data analysis; indefinite quadratic mixed integer programming; financial optimization modeling; dimensionality reduction

Special Issue Information

Dear Colleagues,

The aim of this Special Issue is to explore and advance the field of portfolio risk management. In the face of the fast-paced evolution of financial markets in a data-rich environment, the need for effective risk management is critically important. This Special Issue seeks to gather innovative research and practical applications that contribute to the understanding and management of risks associated with investment portfolios.

The scope of this Special Issue encompasses a wide range of topics within portfolio selection and risk management disciplines, including but not limited to risk measurement and evaluation methodologies, asset allocation strategies, portfolio optimization models and solution, risk forecasting models, tail-risk management, and risk diversification approaches.

We invite researchers and industry practitioners to submit original contributions that shed light on novel concepts, empirical studies, theoretical frameworks, and practical insights in the domain of portfolio risk management. This Special Issue aspires to advance the knowledge and practice of portfolio management, leading to improved risk mitigation and superior portfolio performance in the increasingly complex financial investments landscape.

Prof. Dr. Nalin Chanaka Edirisinghe
Dr. Jaehwan Jeong
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • portfolio optimization
  • risk modeling and analytics
  • trading strategies
  • asset allocation
  • investment risk management

Published Papers (1 paper)

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Research

11 pages, 920 KiB  
Article
Practical Improvements to Mean-Variance Optimization for Multi-Asset Class Portfolios
by Marin Lolic
J. Risk Financial Manag. 2024, 17(5), 183; https://doi.org/10.3390/jrfm17050183 - 29 Apr 2024
Viewed by 429
Abstract
In the more than 70 years since Markowitz introduced mean-variance optimization for portfolio construction, academics and practitioners have documented numerous weaknesses in the approach. In this paper, we propose two easily understandable improvements to mean-variance optimization in the context of multi-asset class portfolios, [...] Read more.
In the more than 70 years since Markowitz introduced mean-variance optimization for portfolio construction, academics and practitioners have documented numerous weaknesses in the approach. In this paper, we propose two easily understandable improvements to mean-variance optimization in the context of multi-asset class portfolios, each of which provides less extreme and more stable portfolio weights. The first method sacrifices a small amount of expected optimality for reduced weight concentration, while the second method randomly resamples the available assets. Additionally, we develop a process for testing the performance of portfolio construction approaches on simulated data assuming variable degrees of forecasting skill. Finally, we show that the improved methods achieve better out-of-sample risk-adjusted returns than standard mean-variance optimization for realistic investor skill levels. Full article
(This article belongs to the Special Issue Portfolio Selection and Risk Analytics)
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