Path Portfolio Optimization: Defect, Lift, and the Price of Path Complexity

By Miquel Noguer i Alonso

Published 2026-08-04

Everscope rating

1713

Relevance to quantitative trading

9 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Signature-linear mean-variance portfolio optimization with lift-gap analysis and estimation study. Problem types: Portfolio Optimization, Risk Management, Pairs Trading, Algorithmic Execution.

arXiv:2608.02355 · Paper rankings

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