Portfolio optimisation

Team collaborators: Pavel Shevchenko, Gareth Peters, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Spiridon Penev, Wei Wu

Relevant publications:

M. Ames, G. Bagnarosa, G. Peters, P.V. Shevchenko and T.Matsui (2017). Forecasting Covariance for Optimal Carry Trade Portfolio Allocations. 41st ICASSP, IEEE international conference on Financial Signal Processing and Machine Learning for Electronic Trading, pp. 5910-5914. DOI: 10.1109/ICASSP.2017.7953290. Available on http://dx.doi.org/10.2139/ssrn.2711586.
M. Ames, G. Bagnarosa, G.W. Peters, and P. V. Shevchenko (2017). Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades. To appear in Journal of Forecasting. Available at SSRN: http://ssrn.com/abstract=2699020.
Spiridon Penev, Pavel Shevchenko, Wei Wu (2017). The impact of model risk on dynamic portfolio selection under multi-period mean-standard deviation criterion. Submitted.

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