Analysis of hedging based on co-persistence theory
Analysis of Kelly-optimal portfolios
Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Asymptotic Power Utility-Based Pricing and Hedging
Asymptotics and Duality for the Davis and Norman Problem
Behavioral Portfolio Selection in Continuous Time
Belief Propagation Algorithm for Portfolio Optimization Problems
Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
Constructing the Best Trading Strategy: A New General Framework
Consumption and Portfolio Rules for Time-Inconsistent Investors
Continuous-Time Markowitz's Model with Transaction Costs
Correlated multi-asset portfolio optimisation with transaction cost
CRRA Utility Maximization under Risk Constraints
Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization
Diversification and limited information in the Kelly game
Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle
Diversity and relative arbitrage in equity markets