{"id":"https://openalex.org/W7225333354","doi":"https://doi.org/10.70267/fer.v3n6.4256","title":"Construction of Optimization Models and Empirical Testing for Multi-Asset Allocation in Quantitative Portfolio Management","display_name":"Construction of Optimization Models and Empirical Testing for Multi-Asset Allocation in Quantitative Portfolio Management","publication_year":2026,"publication_date":"2026-11-05","ids":{"openalex":"https://openalex.org/W7225333354","doi":"https://doi.org/10.70267/fer.v3n6.4256"},"language":"en","primary_location":{"id":"doi:10.70267/fer.v3n6.4256","doi":"https://doi.org/10.70267/fer.v3n6.4256","is_oa":true,"landing_page_url":"https://doi.org/10.70267/fer.v3n6.4256","pdf_url":"https://journals.zeuspress.org/index.php/FER/article/download/1740/1650","source":{"id":"https://openalex.org/S4404674800","display_name":"Financial economics research.","issn_l":"3006-3655","issn":["3006-3655","3006-3663"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Economics Research","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://journals.zeuspress.org/index.php/FER/article/download/1740/1650","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5116851866","display_name":"Yuting Wu","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Yuting Wu","raw_affiliation_strings":["Independent Researcher"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Independent Researcher","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5116851866"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"3","issue":"6","first_page":"42","last_page":"56"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9887999892234802,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9887999892234802,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.005799999926239252,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0017999999690800905,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-correlation","display_name":"dynamic correlation","score":0.8240000009536743},{"id":"https://openalex.org/keywords/trade-costs","display_name":"trade costs","score":0.8109999895095825},{"id":"https://openalex.org/keywords/estimation-uncertainty","display_name":"estimation uncertainty","score":0.6520000100135803},{"id":"https://openalex.org/keywords/market-stress","display_name":"market stress","score":0.6809999942779541},{"id":"https://openalex.org/keywords/portfolio-resilience","display_name":"portfolio resilience","score":0.5770000219345093},{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.7850000262260437},{"id":"https://openalex.org/keywords/drawdown","display_name":"drawdown","score":0.531000018119812},{"id":"https://openalex.org/keywords/out-of-sample-performance","display_name":"out-of-sample performance","score":0.5550000071525574}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.710099995136261},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6592000126838684},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.6330000162124634},{"id":"https://openalex.org/C2777038186","wikidata":"https://www.wikidata.org/wiki/Q5306028","display_name":"Drawdown (hydrology)","level":4,"score":0.5777999758720398},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5529000163078308},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5455999970436096},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.4864000082015991},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.45190000534057617},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4447999894618988},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4302999973297119},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.4212999939918518},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.35429999232292175},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.32010000944137573},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.31929999589920044},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.3018999993801117},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.29660001397132874},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.28540000319480896},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.2808000147342682},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.2727999985218048},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.27250000834465027},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.27070000767707825},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.26820001006126404},{"id":"https://openalex.org/C189188589","wikidata":"https://www.wikidata.org/wiki/Q14864997","display_name":"Investment management","level":3,"score":0.26330000162124634},{"id":"https://openalex.org/C120936955","wikidata":"https://www.wikidata.org/wiki/Q2155640","display_name":"Empirical research","level":2,"score":0.2556000053882599}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.70267/fer.v3n6.4256","doi":"https://doi.org/10.70267/fer.v3n6.4256","is_oa":true,"landing_page_url":"https://doi.org/10.70267/fer.v3n6.4256","pdf_url":"https://journals.zeuspress.org/index.php/FER/article/download/1740/1650","source":{"id":"https://openalex.org/S4404674800","display_name":"Financial economics research.","issn_l":"3006-3655","issn":["3006-3655","3006-3663"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Economics Research","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.70267/fer.v3n6.4256","doi":"https://doi.org/10.70267/fer.v3n6.4256","is_oa":true,"landing_page_url":"https://doi.org/10.70267/fer.v3n6.4256","pdf_url":"https://journals.zeuspress.org/index.php/FER/article/download/1740/1650","source":{"id":"https://openalex.org/S4404674800","display_name":"Financial economics research.","issn_l":"3006-3655","issn":["3006-3655","3006-3663"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Economics Research","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7225333354.pdf","grobid_xml":"https://content.openalex.org/works/W7225333354.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W7221845330","https://openalex.org/W7159814082","https://openalex.org/W7148990505","https://openalex.org/W7128520765","https://openalex.org/W7116084625","https://openalex.org/W4417501575","https://openalex.org/W7147737827","https://openalex.org/W4281773316","https://openalex.org/W3113366183","https://openalex.org/W3036189078"],"abstract_inverted_index":{"Traditional":[0],"multi-asset":[1],"portfolios":[2],"generally":[3],"assume":[4],"that":[5,52,69,209],"historical":[6,33,243],"correlations":[7,31],"and":[8,37,45,66,84,102,121,137,140,148,166,174,184,196,198,215,239,245],"diversification":[9,28],"relationships":[10],"are":[11,78],"stable":[12],"enough":[13],"to":[14,153,235,240],"be":[15],"relied":[16],"upon":[17],"in":[18],"optimization.":[19],"That":[20],"assumption":[21],"fails":[22],"during":[23,162],"market":[24,81],"stress,":[25],"precisely":[26],"when":[27],"matters":[29],"most:":[30],"rise,":[32],"hedges":[34],"stop":[35],"hedging,":[36],"static":[38,223],"optimizers":[39],"misallocate":[40],"risk.":[41],"This":[42],"study":[43],"develops":[44],"empirically":[46],"evaluates":[47],"a":[48,92,110,187,222,241],"portfolio":[49,229],"optimization":[50],"framework":[51,106,157],"explicitly":[53,210],"models":[54],"changing":[55],"cross-asset":[56,213],"dependencies":[57,214],"while":[58],"accounting":[59],"for":[60],"the":[61,76,156,163,177,206,231],"estimation":[62],"uncertainty,":[63],"liquidity":[64],"heterogeneity,":[65],"trading":[67,85],"costs":[68],"accompany":[70],"implementation.":[71],"Three":[72],"practical":[73],"problems":[74],"motivate":[75],"design\u2014correlations":[77],"estimated":[79],"imperfectly,":[80],"regimes":[82],"change,":[83],"is":[86,89,107,141,233,246],"costly\u2014and":[87],"each":[88],"met":[90],"by":[91],"corresponding":[93],"safeguard:":[94],"distributionally":[95],"robust":[96],"covariance":[97,224],"estimation,":[98],"regime-aware":[99],"rebalancing":[100],"triggers,":[101],"turnover":[103],"regularization.":[104],"The":[105],"tested":[108],"on":[109],"balanced":[111],"panel":[112],"of":[113,191],"127":[114],"assets":[115],"spanning":[116],"equities,":[117],"fixed":[118],"income,":[119],"commodities,":[120],"alternative":[122],"risk":[123,179],"premia":[124],"over":[125],"365":[126],"weekly":[127],"observations":[128],"(2017\u20132023),":[129],"with":[130,201],"rolling":[131],"out-of-sample":[132],"evaluation":[133],"across":[134],"low-volatility,":[135],"stress-transition,":[136],"high-inflation":[138],"regimes,":[139],"benchmarked":[142],"against":[143,221],"Global":[144],"Minimum":[145],"Variance":[146],"(GMV)":[147],"equal-weight":[149],"(EW)":[150],"portfolios.":[151],"Relative":[152],"those":[154],"benchmarks,":[155],"reduces":[158],"maximum":[159],"drawdown":[160],"depth":[161],"2020":[164],"Q1":[165],"2022":[167],"H2":[168],"stress":[169],"episodes":[170],"(12.3%":[171],"versus":[172,182,194],"24.7%":[173],"28.9%),":[175],"lowers":[176],"tail":[178],"ratio":[180],"(1.82":[181],"2.94":[183],"3.17),":[185],"preserves":[186],"higher":[188],"Effective":[189],"Number":[190],"Bets":[192],"(8.4":[193],"4.1":[195],"5.9),":[197],"does":[199],"so":[200],"lower":[202],"turnover.":[203],"Taken":[204],"together,":[205],"results":[207],"suggest":[208],"modeling":[211],"time-varying":[212],"implementation":[216],"constraints,":[217],"rather":[218],"than":[219],"optimizing":[220],"matrix,":[225],"can":[226],"materially":[227],"improve":[228],"resilience;":[230],"comparison":[232],"limited":[234],"these":[236],"two":[237],"benchmarks":[238],"single":[242],"sample,":[244],"interpreted":[247],"accordingly.":[248]},"counts_by_year":[],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2026-11-06T00:00:00"}