Quantitative Finance

Robust Portfolio Optimization under Systematic Market Disruptions (PFSE) featured image
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Robust Portfolio Optimization under Systematic Market Disruptions (PFSE)

Novel PFSE estimator achieves 25% breakdown point with 32× computational speedup over MCD. Out-of-sample Sharpe 1.87 on S&P 500 (2015–2025), 29% lower drawdown during COVID-19. …

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Quantitative Finance

High-dimensional Robust Portfolio Optimization Under Contamination: A Factor-Analytic Approach

Based on my MSc thesis, this paper is currently in review at Computational Economics and develops a robust framework for portfolio optimization under contamination.

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Stefano Blando
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