Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns

By Graham L. Giller

Published 2025-12-16

Everscope rating

1346.2

Relevance to quantitative trading

8 / 10

Implementation complexity

2 / 10

Reproducibility

4 / 5

About this paper

Methodology: Analytical Closed-Form Optimization with Piecewise-Linear Utility. Problem types: Portfolio Optimization, Risk Management, Optimization.

arXiv:2512.11666 · Paper rankings

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