Author

Andrius Grigutis

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Preprint Aug 2026

Generalizing Markowitz Portfolio Optimization by a Quadratic Risk Measure

We show that the key optimization results of the classical Markowitz portfolio selection theory, originally formulated for variance as the risk measure, remain available in explicit closed form under a broader class of strictly convex quadratic risk measures. The proposed framework replaces the covariance matrix with a...

Ignas Gasparavičius, Andrius Grigutis · 0 citations

Preprint Jul 2026

The limit law of the maximum of discrete partial-sums distribution II

Let $X_1,\,X_2,\,\ldots,\,X_N$, $N\in\mathbb N$ be independent, discrete, integer-valued random variables. Assume that $X_j\geqslant m_j$ almost surely for each $j=1,\,2,\,\ldots,\,N$, where $m_1,\,m_2,\,\ldots,\,m_N\in\mathbb{Z}$ satisfy $m_1+\cdots+m_N<0$. Furthermore, suppose that the sequence $X_1,\,X_2,\,\ldots$ i...

Andrius Grigutis, Juozas Petkelis · 0 citations