Researchers publish empirical study on private investor portfolio construction
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Oskar Edén Wallberg and Alexander Karolin released a 71-page empirical research paper targeting private investors. Using a small set of liquid U.S. ETFs as investable assets, under constraints of no short selling, no leverage, monthly trading, and transaction costs, portfolio construction is modeled as a convex optimization problem with all parameters interpretable. The accompanying code and risk model package are publicly available; the risk model package can be obtained via pip install covforge. Backtesting hundreds of portfolios over 20 years or more can be completed on a standard laptop.
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- arXiv q-finarXiv Paper: Simple Portfolios for Individual Investors Can Achieve Stable and Considerable Returns
This is a 71-page empirical study where authors Oskar Edén Wallberg and Alexander Karolin model portfolio construction as a convex optimization problem using a small set of investable U.S. liquid ETFs, under constraints of no short selling, no leverage, monthly trading, and transaction costs, with all parameters interpretable.
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