We propose herein a new portfolio selection method that switches between two distinct asset allocation strategies. An important component is a carefully designed adaptive switching rule, which is based on a machine learning algorithm. It is shown that using this adaptive switching strategy, the combined wealth of the new approach is a weighted average of that of the successive constant rebalanc...

The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain risk-free asset. An equivalence result for with and without numeraire change is established. This permits direct computation of the optimal strategy choosing reference asset and/or performing change. New explicit expressions strategies are obtained, featuring use oblique projections pro...

Multicriteria project evaluation and resource allocation decisions are central and recurrent activities in business and public administration alike. These problems are typically characterized by large number of project proposals, portfolio balance requirements and other constraints; they are also often pressed by urgency and limited data availability. Simple additive scoring models, which o er ...

Many financial optimization problems involve future values of security prices, interest rates and exchange rates which are not known in advance, but can only be forecast or estimated. Several methodologies have therefore been proposed to handle the uncertainty in financial optimization problems. One such methodology is Robust Statistics, which addresses the problem of making estimates of the un...

Recently, Campbell and Viceira (2002) have introduced an intertemporal framework for asset allocation problem where the interest rate and the asset price dynamics are varying with the time. This paper follows up their work and try to explain the asset allocation puzzle of Canner, Mankiw and Weil(1997). We consider the bond prices systematically by integrating the no-arbitrage bond pricing model...

The paper offers a straightforward method for estimating R&D portfolios that maximize shareholders’ utility. R&D portfolios are generally associated with high returns and high risks. As such, an impressive body of literature has highlighted the risks linked with R&D portfolio allocations. Nevertheless, the role of financing strategies in portfolio allocation has been neglected, and this provide...

There has been considerable public discussion of the investment performance of the University of California Retirement Plan (UCRP). Much of that discussion has been based on simple comparisons of the realized investment returns of UCRP to those of other pension plans, such as CalPERS. Such comparisons provide no economically meaningful or statistically significant information about the quality ...