Beating a benchmark: dynamic programming may not be the right numerical approach
PM Van Staden, PA Forsyth, Y Li - SIAM Journal on Financial Mathematics, 2023 - SIAM
We analyze dynamic investment strategies for benchmark outperformance using two widely
used objectives of practical interest to investors:(i) maximizing the information ratio (IR), and …
used objectives of practical interest to investors:(i) maximizing the information ratio (IR), and …
Strategic rebalancing
A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed
portfolio weights, is an active strategy. Winning asset classes are sold and losers are …
portfolio weights, is an active strategy. Winning asset classes are sold and losers are …
Exact replication of the best rebalancing rule in hindsight
A Garivaltis - arXiv preprint arXiv:1810.02485, 2018 - arxiv.org
This paper prices and replicates the financial derivative whose payoff at $ T $ is the wealth
that would have accrued to a $\$1 $ deposit into the best continuously-rebalanced portfolio …
that would have accrued to a $\$1 $ deposit into the best continuously-rebalanced portfolio …
[PDF][PDF] Beating a benchmark: dynamic programming may not be the right
PM van Staden, PA Forsyth, Y Li - 2022 - researchgate.net
We analyze dynamic investment strategies for benchmark outperformance using two widely-
used ob-6 jectives of practical interest to investors:(i) maximizing the information ratio (IR) …
used ob-6 jectives of practical interest to investors:(i) maximizing the information ratio (IR) …
Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)
B Hood, J Huss, R Israelov, M Klein - Available at SSRN 3432438, 2019 - papers.ssrn.com
There have been increasingly frequent claims that risk parity strategies are hiding an implicit
short volatility exposure or behave as though they are short volatility. In order to test the …
short volatility exposure or behave as though they are short volatility. In order to test the …
Put Selling
MJ Oyster, MJ Oyster - Success in a Low-Return World: Using Risk …, 2018 - Springer
Abstract Oyster describes the Volatility Risk Premium (VRP) as perhaps the most significant,
untapped resource available to investors today. Systematic put selling or writing strategies …
untapped resource available to investors today. Systematic put selling or writing strategies …
[CITATION][C] Dynamic optimal investment strategies for benchmark
PM van Staden, PA Forsyth, Y Li - 2022