Portfolio optimization in equities
46 papers on portfolio optimization in equities as a systematic trading strategy. Portfolio optimization papers on single stocks and equity indices: 46 of the 105 in portfolio optimization. 21 name a method, most often linear factor models (14). The most cited is Risk Parity Portfolios with Risk Factors (2012).
Papers462003–2026
Share of the family44 %46 of 105
| cited by | method | ||
|---|---|---|---|
| Risk Parity Portfolios with Risk Factors by Roncalli and Weisang | 24 | Linear factor models | 2012 |
| Optimal Asset Allocation with Factor Models for Large Portfolios by Pesaran and Zaffaroni | 14 | Linear factor models | 2008 |
| Realized Covariance Estimation in Dynamic Portfolio Optimization by Kyj et al. | 6 | Linear factor models | 2009 |
| Portfolio Policies with Stock Options by Plyakha and Vilkov | 6 | 2008 | |
| Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing by Perchet et al. | 5 | 2014 | |
| A Sustainable Portfolio Construction Model Based on ESG and Deep Learning Algorithms: Evidence from the U.S. Market by Sajadi et al. | 2 | Neural networks | 2025 |
| The Development and Evolution of Mean-Variance Efficient Portfolios in the US and Japan: 30 Years After the Markowitz and Ziemba Applications by Guerard et al. | 2 | Linear factor models | 2023 |
| Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization by Shah | 2 | Bayesian +1 | 2015 |
| The UMO (Undervalued Minus Overvalued) Factor by Hirshleifer and Jiang | 2 | 2011 | |
| LLM-Enhanced Black-Litterman Portfolio Optimization by Lee et al. | 1 | Language models | 2025 |
| Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression by van Jaarsveldt et al. | 1 | 2023 | |
| Options Portfolio Selection with Position Limits by Guasoni et al. | 1 | 2022 | |
| Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia by Bruder et al. | 1 | 2022 | |
| Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory by Keller | 1 | 2014 | |
| Portfolio Selection with Return Predictability and Periodically Observable Predictive Variables by Liu and Huang | 1 | 2003 | |
| A Two-Stage Decision Support System for Sustainability-Aware Long Short Portfolio Optimization by di Tollo et al. | 0 | 2026 | |
| An Automated Black-Litterman Framework for Global Fixed Income by Carver et al. | 0 | Mathematical derivation +1 | 2026 |
| Can Advanced Portfolio Optimization Beat Equal Weighting? Evidence from Indian Large-Cap Walk-Forward Backtests by Dabi and Dabi | 0 | 2026 | |
| Comparative Evaluation of Modern Deep Learning Methodologies for Portfolio Optimization by Ozechi et al. | 0 | Neural networks | 2026 |
| Machine Learning Enhanced Multi-Factor Quantitative Trading: A Cross-Sectional Portfolio Optimization Approach with Bias Correction by Du | 0 | 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 Pardo | 0 | Bayesian +2 | 2026 |
| Topological Risk Parity by Nayar et al. | 0 | 2026 | |
| Goal-based portfolio selection with fixed transaction costs by Bayraktar et al. | 0 | 2025 | |
| Tariff Smart Beta Strategy: Portfolio Construction under U.S. Tariff Escalations by Guan | 0 | 2025 | |
| Course 2023-2024 in Portfolio Allocation and Asset Management by Roncalli | 0 | 2024 | |
| Dynamic Factor Allocation Leveraging Regime-Switching Signals by Shu and Mulvey | 0 | State-space models | 2024 |
| Earnings Forecasting and Mean-Variance Efficient Portfolios in the United States by Guerard et al. | 0 | Linear factor models | 2024 |
| Black-Litterman, Bayesian Shrinkage, and Factor Models in Portfolio Selection: You Can Have It All by Chong | 0 | Bayesian +1 | 2023 |
| The Development and Evolution of Mean-Variance Efficient Portfolios in Japan: 30 Years After by Guerard and Beheshti | 0 | Linear factor models | 2023 |
| Dynamic Portfolio Choice with Predictable Returns and Transaction Costs for More Frequent Rebalancing by Xu et al. | 0 | Mathematical derivation +1 | 2022 |
| Dynamic Portfolio Optimization with Inverse Covariance Clustering by Wang and Aste | 0 | 2022 | |
| Fractional Growth Portfolio Investment by Brockwell | 0 | 2021 | |
| Intraday trading strategy based on time series and machine learning for Chinese stock market by Wang et al. | 0 | Neural networks | 2021 |
| Machine Learning-Driven Virtual Bidding with Electricity Market Efficiency Analysis by Li et al. | 0 | Tree ensembles +1 | 2021 |
| Optimierte Portfolioanalyse Heterogener Güter Und Einflüsse-Messung Auf Den Fyt-Zins Mit Hedonisch Algorithmierter Garm-Regression (Optimized Portfolio Analysis of Heterogeneous Assets and Influence Measurement on the FYT Interest Rate With Hedonically Algorithmic GARM Regression) by Becker | 0 | Linear factor models | 2020 |
| Risk Management and Return Prediction by Ge et al. | 0 | Linear factor models | 2020 |
| Sparse Markowitz Portfolio Selection by Penalty Methods by Wang and Shao | 0 | 2017 | |
| The Development of Mean-Variance-Efficient Portfolios in Japan and the U.S. by Guerard | 0 | 2016 | |
| Optimal mean-variance investment strategy under value-at-risk constraints by Ye and Li | 0 | Mathematical derivation | 2010 |
| Beliefs Regarding Fundamental Value and Optimal Investing by Cvitanić et al. | 0 | 2008 | |
| Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy by Chakraborty | 2025 | ||
| Partial Information in a Mean-Variance Portfolio Selection Game by Huang and Sun | 2025 | ||
| Return Prediction for Mean-Variance Portfolio Selection: How Decision-Focused Learning Shapes Forecasting Models by Lee et al. | 2025 | ||
| Anomaly Predictability with the Mean-Variance Portfolio | Linear factor models | 2023 | |
| On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important by Hsieh and Barmish | 2018 | ||
| Hedge Fund Portfolio Diversification Strategies Across the GFC | 2014 |
Papers on portfolio optimization in equities from other families
4 papers| filed under | ||
|---|---|---|
| Mathematics of Derivative Pricing: A Comprehensive Object-Oriented Framework for Valuation and Strategy by Van | Options trading strategies | 2026 |
| A multi-factor market-neutral investment strategy for New York Stock Exchange equities by Gkolemis et al. | Factor investing | 2024 |
| Combining Strategic and Tactical Asset Allocation by Antonacci | Market timing and tactical asset allocation | 2010 |
| Trading Strategy Performance When Using Value at Risk or Expected Shortfall as a Risk Constraint by Visaltanachoti and Yan | Short-term reversal | 2002 |