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We propose deep neural network algorithms to calculate the efficient frontier in mean–variance and mean–conditional value-at-risk (mean–CVaR) portfolio optimization problems. Starting with the ...

Our news journalists obtained a quote from the research from Tsinghua University, "The instantaneous interest rate is modeled as the Cox-Ingersoll-Ross (CIR) model, and we use a generalized ...

One of the classic underpinnings of Modern Portfolio Theory needs an update. In the early 1950s, Harry Markowitz's work on mean-variance optimization blazed a new investing paradigm. His Efficient ...

With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point ...

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...

The efficient frontier is defined as the set of portfolios which maximizes expected return for a given level of risk. The theory was developed by Nobel laureate and economist, Harry Markowitz, and has ...