QUADRATIC PROGRAMMING (QP) IS THE MOST WIDELY USED METHOD for portfolio
construction. It is most effective when the assert return distributions are approximately normal. …

This study introduces growth optimization with downside protection as a portfolio selection
technique based on power-log utility functions that combine long-term portfolio growth …

This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its
factor constituents in the US market over time, with the ultimate goal of making the ETF …

Purpose – The purpose of this paper is to describe some optimization exercises which have
proved to be very useful for introducing students to Markowitz‐style mean‐varience …

The current low-interest-rate, low-volatility environment demands a more innovative approach
to investment management than the allocation to stocks and bonds that is practiced widely …

In the past few years, there has been a tremendous growth in derivative markets around the
world and the quantity and quality of information about derivative instruments. These …

Investors prefer positively skewed portfolio returns, while value portfolios have substantial
negative skewness in their returns. We use a Power-Log utility optimization algorithm and a put…

Optimizing over power-log utility functions allow for the inclusion of downside loss aversion,
a broader range of investor preferences, and account for higher-order moments like …

We use a power-log utility optimization algorithm based on a behavioral model of investor
preferences, along with either a call or a put option overlay, to reverse the negative skewness …

This study demonstrates the practical application of option pricing theory to calculate the
cost of providing guarantees for privatized social security accounts. We examine privatized …