Our paper contributes to the recent macroprudential policy addressing the resilience of
financial systems in terms of their interconnectedness. We argue that beneath an interbank …

In this paper, we build estimation error in mean returns into the mean-variance (MV)
portfolio theory under the assumption that returns on individual assets follow a joint normal …

This article discusses the portfolio selection problem from a Bayesian perspective. In doing
so, I first provide an overview of the portfolio problem and motivate the decision-making …

Naive asset allocation and other ad-hoc techniques are commonly practiced by fund
managers in the industry. Such strategies, however, are deemed mean-variance (MV) sub-optimal …

This article contributes to reproducible research in portfolio selection using R. In particular,
we evaluate several portfolio rules used in the literature by utilizing different publicly available …

This dissertation is comprised of three chapters on financial institutions and risk management,
which revolve around portfolio theory, asset pricing, financial networks, and banking. My …

We propose a data-driven methodology to shrink the correlation matrix and, hence, the
covariance matrix using reinforcement learning (RL). Our approach does not impose any …

We propose a simple approach to bridge between portfolio theory and machine learning. The
outcome is an out-of-sample machine learning efficient frontier based on two assets, high …

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 …

We study [Roll, R., A mean/variance analysis of tracking error. J. Portfolio Manage., 1992, 18,
13–22.] conjecture that there exists an implicit value in index-tracking (IVIT) relative to …