Corpus ID: 231583146

Portfolio Construction Using Stratified Models

@inproceedings{Tuck2021PortfolioCU,
  title={Portfolio Construction Using Stratified Models},
  author={Jonathan Tuck and Shane T. Barratt and S. Boyd},
  year={2021}
}
In this paper we develop models of asset return mean and covariance that depend on some observable market conditions, and use these to construct a trading policy that depends on these conditions, and the current portfolio holdings. After discretizing the market conditions, we fit Laplacian regularized stratified models for the return mean and covariance. These models have a different mean and covariance for each market condition, but are regularized so that nearby market conditions have similar… Expand
1 Citations
Covariance Prediction via Convex Optimization
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