Antonello Cirulli

OLZ AG

Head of Product Development

Gessnerallee 38

Zurich, Zurich 8001

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

779

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Outperforming Equal Weighting

Number of pages: 11 Posted: 20 Dec 2023
Antonello Cirulli and Patrick S. Walker
OLZ AG and University of Zurich, Department of Banking and Finance
Downloads 779 (59,692)

Abstract:

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Naive Diversification, Equally Weighted Portfolio, Momentum Anomaly, Low-Volatility Anomaly, Portfolio Optimization

2.

Portfolio Construction with Hierarchical Momentum

The Journal of Portfolio Management, 2024, 50(4), 136-159. https://doi.org/10.3905/jpm.2023.1.570
Posted: 07 Jun 2022 Last Revised: 13 Feb 2024
Antonello Cirulli, Michal Kobak and Urban Ulrych
OLZ AG, University of Zurich - Department Finance and École Polytechnique Fédérale de Lausanne

Abstract:

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Portfolio Construction, Hierarchical Clustering, Momentum, Sparsity, Dimensionality Reduction.