Shifted Wishart Processes Portfolio Optimization
The Markov-Modulated Shifted Wishart (MMSW) process is utilized to capture covariance dynamics in a portfolio optimization problem, providing a flexible strategy that adapts to sudden market stress and maintains diversification benefits.
Featured in No. 100 on 4 Jun 2025 · 3 days after release
- Released
- 1 Jun 2025
- First featured
- No. 100 · 4 Jun 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5277926
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).