Portfolio Management

Authors and titles for recent submissions

• Mon, 29 Jun 2026
• Fri, 26 Jun 2026
• Thu, 25 Jun 2026
• Wed, 24 Jun 2026
• Tue, 23 Jun 2026

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Mon, 29 Jun 2026 (showing 1 of 1 entries )

[1] arXiv:2606.27462 (cross-list from stat.ML) [pdf, html, other]

Title: The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails

Xavier Fonseca

Comments: 19 pages, 1 figure

Subjects: Machine Learning (stat.ML); Machine Learning (cs.LG); Portfolio Management (q-fin.PM)

Fri, 26 Jun 2026 (showing 3 of 3 entries )

[2] arXiv:2606.26835 [pdf, html, other]

Title: A sharp order-three obstruction to the aggregation of conditional price-of-risk attribution

Alejandro Rodriguez Dominguez

Comments: 18 pages, 4 Figures, All experiments are synthetic and use no proprietary data. The code reproducing every figure is openly available at this https URL (archived) and this https URL (development); each script is seeded, so every figure is exactly reproducible

Subjects: Portfolio Management (q-fin.PM)

[3] arXiv:2606.26815 [pdf, html, other]

Title: Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning

Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst

Subjects: Portfolio Management (q-fin.PM); Computational Finance (q-fin.CP); Machine Learning (stat.ML)

[4] arXiv:2606.26625 [pdf, html, other]

Title: Portfolio Optimization for Commodity ETFs under Heavy-Tailed Returns

Nicholas Appiah, Ali Jaffri, Dilmi C.W. Hettiachchi-Halpe-Kankanamalage, Svetlozar T. Rachev

Subjects: Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)

Thu, 25 Jun 2026 (showing 2 of 2 entries )

[5] arXiv:2606.25811 (cross-list from q-fin.TR) [pdf, html, other]

Title: Hierarchical Graph Learning for Calendar Spread Strategies in Commodity Futures Markets

Yoonsik Hong, Diego Klabjan

Subjects: Trading and Market Microstructure (q-fin.TR); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Portfolio Management (q-fin.PM); Pricing of Securities (q-fin.PR)

[6] arXiv:2606.25696 (cross-list from cs.CE) [pdf, html, other]

Title: A Two-Stage Decision Support System for Sustainability-Aware Long Short Portfolio Optimization

Giacomo di Tollo, Massimiliano Kaucic, Filippo Piccotto

Subjects: Computational Engineering, Finance, and Science (cs.CE); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM)

Wed, 24 Jun 2026

No updates for this time period.

Tue, 23 Jun 2026 (showing 2 of 2 entries )

[7] arXiv:2606.20903 [pdf, html, other]

Title: Reinforcement Learning for Risk-Sensitive Investment Management: a Free Energy--Entropy Duality Approach

Sebastien Lleo, Wolfgang Runggaldier

Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC)

[8] arXiv:2606.23367 (cross-list from q-fin.CP) [pdf, html, other]

Title: Asymmetry PRISM: A CPU/GPU Portfolio Optimization Engine for Deadline-Bounded Institutional Rebalancing

Debdoot Ghosh

Comments: 22 pages, 8 figures

Subjects: Computational Finance (q-fin.CP); Computational Engineering, Finance, and Science (cs.CE); Distributed, Parallel, and Cluster Computing (cs.DC); Optimization and Control (math.OC); Portfolio Management (q-fin.PM)