Research Studentships (Master or Integrated Master students) - (BL173/2021-IST-ID)

Workplan: This project is focused on the analysis of risk-based allocation models for portfolio optimization, these being the minimum variance portfolio, the equal contribution risk portfolio and the maximum diversification portfolio. Additionally, Adversarial Multi-Armed Bandits methodologies are also used, where each arm corresponds to each of the three portfolio optimization models mentioned, in order to find out if these can achieve better results than each individual portfolio optimisation strategy. Furthermore, for each of these methodologies, the impact of the estimation of covariance matrices through the use of classical and robust methods will also be studied. To help in the decision making process, a Hidden Markov Model will be used as an indicator of the market state. Finally, each model will be tested in a multi-period environment, where in which period the asset's portfolio weights will be reallocated, while taking into consideration the proportional costs of buying and selling an asset.

As a final product, a paper should be written and submitted to a journal.

Duration: The research fellowship(s) will have the duration of 3 months. It’s expected to begin in December/2021, and it is not renewable.

It is mandatory to formalize applications with the submission of the following documents: i) B1 Form – Fellowship application (https://ist-id.pt/concursos/bolsas/ ); ii) Curriculum Vitae; iii) academic degree certificate, where applicable; iv) proof of enrollment at an academic degree course (Master, Integrated Master); v) motivation letter;

Applications must be submitted to the email: [email protected]_