Advances in Portfolio Management: Dimension-Driven Portfolios

5 Pages Posted: 10 Jan 2023 Last revised: 31 Jan 2023

Date Written: January 10, 2023

Abstract

This essay (a) summarizes our views on the foundations of portfolio theory literature and its current deviation from the new business frontier unlocked at asset manager organisations by end-to-end algorithmic technology; (b) discusses the management of a portfolio in a micro dimensional manner (dimension-driven portfolios or DDP) as a better alternative to the current standard aggregations (moving risk management from units of an instrument to the different strategies that built its exposure); and (c) proposes different states at the new business frontier of asset managers upon DDP.

Keywords: Portfolio Management, Risk Management, Asset Management, Algorithmics, Platforms, Innovation

JEL Classification: G11, G32

Suggested Citation

Alvarez-Teleña, Sergio and Díez-Fernández, Marta, Advances in Portfolio Management: Dimension-Driven Portfolios (January 10, 2023). Available at SSRN: https://ssrn.com/abstract=4321538 or http://dx.doi.org/10.2139/ssrn.4321538

SciTheWorld ( email )

Spain

Marta Díez-Fernández

SciTheWorld ( email )

Madrid
Spain

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