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Quantitative Finance Volume 21, 2021 - Issue 3
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Research Papers

A cost-effective approach to portfolio construction with range-based risk measures

Chi Seng PunSchool of Physical and Mathematical Sciences, Nanyang Technological University, Singapore, SingaporeCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-7478-6961View further author information
ORCID Icon &
Lei WangSchool of Physical and Mathematical Sciences, Nanyang Technological University, Singapore, SingaporeView further author information
Pages 431-447 | Received 10 Feb 2020, Accepted 05 Jun 2020, Published online: 29 Jul 2020

Citations (8)

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Read on this site (1)

Chi Seng Pun & Zi Ye. (2023) Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency. Quantitative Finance 23:2, pages 351-365.
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Articles from other publishers (7)

Godeliva Petrina MarisuChi Seng Pun. (2023) Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios. SIAM Journal on Financial Mathematics 14:1, pages 127-157.
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Chi Seng Pun & Zi Ye. (2022) Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint. Automatica 135, pages 109986.
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Chi Seng Pun. (2021) A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM Journal on Financial Mathematics 12:1, pages 410-445.
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Giovanni Bonaccolto & Massimiliano Caporin. (2022) On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis. SSRN Electronic Journal.
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Chi Seng Pun & Zi Ye. (2022) Optimal Multi-period Transaction-cost-aware Long-Only Portfolios and Time Consistency in Efficiency. SSRN Electronic Journal.
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Chi Seng Pun & Zi Ye. (2020) Dynamically Optimal Multi-period Mean-Variance Portfolio subject to Proportional Transaction Costs and No-shorting Constraint. SSRN Electronic Journal.
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Chi Seng Pun. (2018) Cost-Effective Dynamic Portfolio Construction with Market-Sensitive Sparsity. SSRN Electronic Journal.
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