Optimal option portfolio selection with simulation techniques by Liu, Bingyan

“…We propose a method to solve the problem of asset allocation for option portfolios using simulations. …”
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Large-Scale Portfolio Construction with Regularised Regression-Based Methods by Tay, Jeremiah Wei Jie

“…Optimal portfolio asset allocation has played an increasingly important role in finance ever since Markowitz laid down a mathematical approach to portfolio optimisation in the 1950s. …”
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Empirical studies on dynamic trading strategies with autoregressive assets by Goh, Chian Yi

“…Enhancement through adjusting the desired required return may lead to a better achievement in balancing risk and return of asset allocation. This paper contributes to the evaluation of the practical use of dynamic trading strategies and hence the best choice among them, which is previously questionable.…”
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