A simple non-stationary paradigm for the dynamics of multivariate returns is discussed. Unlike most of the multivariate econometric models for financial returns, our approach supposes the volatility to be exogenous and non-stationary. The vectors of returns are assumed to be animated by a slowly...

We study the problem of a fund manager whose compensation depends on the relative performance with respect to a benchmark index. In particular, the fund manager's risk-taking incentives are induced by an increasing and convex relationship of fund flows to relative performance. We consider a...

We propose a Reinforcement Learning (RL) algorithm for generating a trading strategy in a realistic setting, that includes transaction costs and factors driving the asset dynamics. We benchmark our algorithm against the analytical optimal solution, available when factors are linear and...

We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the...

We examined the impact of including sustainability-related constraints in optimal portfolio decision-making. Our analysis covered an investment set containing the components of the S&P500 index from 1993 to 2008. Optimizations were performed according to the classic mean-variance approach, while...

We investigate the performance of Socially Responsible Funds (SRFs) and Conventional Funds (CFs) in different market segments during the 1992-2012 period. From an unbalanced sample of more that 22,000 funds, we define a matched sample using a beta-distance measure to match any SRF with the...