In this paper we provide a survey of recent contributions to robust portfolio strategies from
operations research and finance to the theory of portfolio selection. Our survey covers …

In this article, the authors find that a typical application of volatility-timing strategies to the
stock market suffers from look-ahead bias, despite existing evidence on the success of the …

We challenge the academic consensus that estimation error makes mean–variance portfolio
strategies inferior to passive equal-weighted approaches. We demonstrate analytically, via …

In this article, the authors (re) introduce mean–variance portfolio construction for factor
portfolios. These models, first popular with quants in the 1990s, are being resurrected today …

Maximizing the out-of-sample Sharpe ratio is an important objective for investors. To achieve
this, we characterize optimal portfolio combinations maximizing expected out-of-sample …

We present analytical expressions for the out-of-sample utility variance of sample portfolios
and show that performance risk is large in high-dimensional settings and when estimated …

The author derives expressions for the information ratio (IR) that can be expected from
directional market-timing strategies. The results hold as accurate approximations and lift the …

We derive analytical expressions for the risk of an investor's expected utility under parameter
uncertainty. In particular, our analysis focuses on characterizing the out-of-sample utility …

After reviewing the unique characteristics of the Chinese bond market, the authors
investigate the factors that determine the returns and risks of Chinese bonds. Bond returns …

This chapter presents the state of the art of the Intelligent Portfolio Theory which consists of
three parts: the basic theory—principles and framework of intelligent portfolio management …