Optimal VPPI strategy under Omega ratio with stochastic benchmark

By Guohui Guan, Lin He, Zongxia Liang, Litian Zhang

Published 2024-03-20

Everscope rating

1478.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic concavification. Problem types: Portfolio Optimization, Risk Management.

arXiv:2403.13388 · Paper rankings

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