Portfolio optimization
105 papers on portfolio optimization as a systematic trading strategy. Mean-variance, risk parity, Black-Litterman and related construction methods tested on returns.
Also searched as: mean-variance optimization, risk parity, Black-Litterman, portfolio construction, Markowitz
Papers1051998–2026
Share of the family100 %105 of 105
Asset
Method
Papers by yearPortfolio optimization
Related familiespapers shared with this family
| Most cited in each asset | cited by | asset | |
|---|---|---|---|
| It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification by Kirby and OstdiekMulti-asset | 306 | Multi-asset | 2012 |
| Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds by Brown and SmithAsset not named | 180 | Asset not named | 2011 |
| Risk Parity Portfolios with Risk Factors by Roncalli and WeisangEquities | 24 | Equities | 2012 |
| Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries by LosCurrencies | 5 | Currencies | 1998 |
| A Continuous-Time Re-Examination of the Inefficiency of Dollar-Cost Averaging by Milevsky and PosnerVolatility and options | 4 | Volatility and options | 1999 |
| Black-Litterman End-to-End by Duraj and YuBonds and credit | 2 | Bonds and credit | 2023 |
| Latest additions | asset | |
|---|---|---|
| An Automated Black-Litterman Framework for Global Fixed Income by Carver et al.Equities | Equities | 2026 |
| AI-Driven Strategic Asset Allocation vs Traditional Mean-Variance Optimization: Evidence from Global Institutional Portfolios by NgewaMulti-asset | Multi-asset | 2026 |
| On the Limits of Low-Frequency OHLCV Signals in Machine Learning-Driven Portfolio Optimization A Cost-Aware, Leak-Free Benchmark on Large-Cap US Equities by PardoEquities | Equities | 2026 |
| Can Advanced Portfolio Optimization Beat Equal Weighting? Evidence from Indian Large-Cap Walk-Forward Backtests by Dabi and DabiEquities | Equities | 2026 |
| The Scarcity Migration Asset Pricing Model: Replacing Historical Covariance with Supply Chain Topology for Portfolio Construction Under Structural Regime Change by LambertAsset not named | Asset not named | 2026 |
Assets with their own page
56 papers| Portfolio optimization in equities | 46 |
| Portfolio optimization in multi-asset | 10 |
Portfolio optimization in currencies
2 papers| cited by | method | ||
|---|---|---|---|
| The Economic Value of Technical Trading Rules: A Nonparametric Utility-Based Approach by Dewachter and Lyrio | 1 | 2002 | |
| Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries by Los | 5 | 1998 |
Portfolio optimization in volatility and options
2 papers| cited by | method | ||
|---|---|---|---|
| Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies by Jabłecki et al. | 1 | 2014 | |
| A Continuous-Time Re-Examination of the Inefficiency of Dollar-Cost Averaging by Milevsky and Posner | 4 | 1999 |
Portfolio optimization in crypto
1 paper| cited by | method | ||
|---|---|---|---|
| Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies by Chen | Language models | 2026 |
Portfolio optimization in bonds and credit
1 paper| cited by | method | ||
|---|---|---|---|
| Black-Litterman End-to-End by Duraj and Yu | 2 | Neural networks +1 | 2023 |
Portfolio optimization, no asset class named
43 papers| cited by | method | ||
|---|---|---|---|
| A robust portfolio selection problem with price impacts in discrete time by Siu et al. | 0 | 2026 | |
| Are Three Matrices All You Need To Beat the Market? Observable Matrix Dynamics for Portfolio Optimization by Halperin | 0 | 2026 | |
| Beyond De Prado and Cotton: Hierarchical and Iterative Methods for General Mean-Variance Portfolios by Wuebben | 0 | 2026 | |
| Portfolio Optimization under Fast and Slow Latent Mean-Reverting and Momentum Drift by Eccles and Lee | 0 | 2026 | |
| The Scarcity Migration Asset Pricing Model: Replacing Historical Covariance with Supply Chain Topology for Portfolio Construction Under Structural Regime Change by Lambert | 0 | Mathematical derivation | 2026 |
| Kernel Learning for Mean-Variance Trading Strategies by Futter et al. | 0 | Neural networks +1 | 2025 |
| On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy by Ma and Smith | 0 | 2025 | |
| Practical Portfolio Optimization with Metaheuristics:Pre-assignment Constraint and Margin Trading by Poon | 2025 | ||
| Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model by Li et al. | 0 | Mathematical derivation | 2024 |
34 more
| Single-stage Portfolio Optimization with Automated Machine Learning for M6 by Huang et al. | 2 | 2024 | |
| From Risk Parity to Outcome Risk Parity: A Review and Extension of the Risk Parity Portfolio with Return Predictability by Renzi-Ricci et al. | 0 | 2023 | |
| Portfolio Construction with News Sentiment using a Large Language Model by Zhang | 1 | Language models | 2023 |
| Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach. by Lin and Taamouti | 2023 | ||
| Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals by Futter et al. | 0 | Linear factor models | 2023 |
| Diversified reward-risk parity in portfolio construction by Choi et al. | 1 | 2022 | |
| Dynamic Portfolio Management with Machine Learning by Huang et al. | 6 | Classical time series +1 | 2021 |
| Quantized Portfolio Theory by Chung | 0 | 2021 | |
| Time-inconsistency with rough volatility by Han and Wong | Mathematical derivation | 2021 | |
| Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case by Trybuła and Zawisza | Mathematical derivation +1 | 2020 | |
| Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model by He and Jiang | 2 | Mathematical derivation | 2020 |
| Active Risk Budgeting is better than the Tangency Portfolio by Chakravorty et al. | 0 | 2019 | |
| Efficient Portfolios and Extreme Risks: A Pareto-Dirichlet Approach by Le Courtois and Xu | 1 | Linear factor models | 2019 |
| Multi-period investment strategies under Cumulative Prospect Theory by Deng and Pirvu | 5 | 2019 | |
| Risk reduction and efficiency increase in large portfolios: leverage and shrinkage by Zhao et al. | Classical time series | 2019 | |
| Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients by Wang | 0 | 2018 | |
| Disentangling the Role of Variance and Covariance Information in Portfolio Selection Problems by Santos | 0 | 2017 | |
| Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment by Fouque and Hu | 3 | 2016 | |
| Optimal trading strategies - a time series approach by Bebbington and Kühn | 1 | 2016 | |
| Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC | 2015 | ||
| Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio by Lorig and Sircar | 0 | Mathematical derivation | 2015 |
| European Market Portfolio Diversifcation Strategies across the GFC | 2014 | ||
| European Market Portfolio Diversification Strategies across the GFC | 2014 | ||
| Optimal Investment Strategies for Defined Contribution Pension Funds with Multiple Contributors by Gu and Zhang | 1 | 2014 | |
| Cone-Constrained Continuous-Time Markowitz Problems by Czichowsky and Schweizer | Mathematical derivation | 2012 | |
| Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds by Brown and Smith | 180 | State-space models | 2011 |
| Eigen-Adjusted Covariance Matrices by Menchero et al. | 6 | 2011 | |
| Portfolio Construction and Systematic Trading with Factor Entropy Pooling by Meucci et al. | 1 | Bayesian | 2011 |
| Time Variation in Life Expectancy, Optimal Portfolio Choice and the Cross-Section of Asset Returns by Maurer | 3 | 2010 | |
| Dynamic Trading Strategies and Portfolio Choice by Bansal et al. | 1 | 2004 | |
| Portfolio Optimization with Concave Transaction Costs by Demchuk | 6 | 2003 | |
| A Mean-Variance Analysis of Self-Financing Portfolios by Korkie and Turtle | 40 | Linear factor models | 2002 |
| Dynamic Mean Variance Analysis by Henrotte | 6 | Mathematical derivation | 2002 |
| Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio by Robotti | 0 | 2002 |
Papers on portfolio optimization from other families
6 papers| filed under | ||
|---|---|---|
| When Simplicity Beats Optimization: Evidence from Factor Timing, Volatility Management, and the 1/N Benchmark by Feng | Factor investing | 2026 |
| Enhancing Portfolio Optimization: A Theoretical Exploration of the Multi-Factor Treynor-Black Model by Lundtofte | Factor investing | 2024 |
| The Risk of Expected Utility under Parameter Uncertainty by Lassance et al. | Low-volatility anomaly | 2021 |
| Betting Against Beta (and Gamma) Using Government Bonds by Durham | Low-volatility anomaly | 2015 |
| Dispersion Trading: Empirical Evidence from U.S. Options Markets by Marshall | Options trading strategies | 2008 |
| Evolutionary Portfolio Selection With Liquidity Shocks by De Giorgi | Liquidity premium | 2004 |