Kum-Ryong Jo

Exponentially weighted moving mean–variance with portfolio-level aggregation: Genetic algorithm tuning and out-of-sample evidence

This paper proposes an Exponentially Weighted Moving Mean–Variance (EMMV) model that discounts older data with a forgetting factor. Unlike traditional asset-level smoothing, the EMMV aggregates portfolio-level moments across rolling windows, yielding stable, adaptive allocations. Hyperparameters are selected objectivel...