We show that the introduction of a leverage constraint improves the practical implementation
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …

We consider the problem of optimally deleveraging a high net-worth long-short portfolio in a
short time period to position the fund favorably with respect to leverage and margin risks, in …

Classical models for the construction of an investment portfolio do not account for
fundamental values of companies considered. In our approach, we extend the portfolio …

This paper addresses the optimal rebalancing problem of a long–short portfolio with high net
asset value under trading impact losses. The fund manager may employ leveraging as a tool …

We study optimal portfolio choice under leveraging to improve portfolio performance when
trade execution faces market impact. We consider a quasi-elastic market with continuous …

In this study, we investigated some extensions of the classical portfolio theory and try to
evaluate them in a situation of crisis. We studied some additional criteria for portfolio …

Abstract Harry Markowitz passed on June 22, 2023; some four years short of reaching 100
years old. Dr. Markowitz was not a traditional economist. That fact was well-established and …

More than seventy years ago Harry Markowitz formulated portfolio construction as an
optimization problem that trades off expected return and risk, defined as the standard …

Modern Portfolio Theory is the ground upon which most works in portfolio optimization
context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to …

This article presents a different way to use general portfolio selection model (GPSM) to
represent leverage aversion. Ignoring certain less-important differences between the two …