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Our news journalists obtained a quote from the research from Tsinghua University, "The instantaneous interest rate is modeled as the Cox-Ingersoll-Ross (CIR) model, and we use a generalized ...

We propose deep neural network algorithms to calculate the efficient frontier in mean–variance and mean–conditional value-at-risk (mean–CVaR) portfolio optimization problems. Starting with the ...

A set of assets is said to span the mean–variance space if the efficient frontier it generates cannot be improved upon with additional assets. Mean–variance spanning is used to determine empirically ...

One of the classic underpinnings of Modern Portfolio Theory needs an update. In the early 1950s, Harry Markowitz's work on mean-variance optimization blazed a new investing paradigm. His Efficient ...

With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point ...