Impact of Volume on portfolio optimization

This study explores the use of volumes of stock returns in portfolio problems. In the analysis, we consider different portfolio strategies applied to the portfolio returns conditional the portfolio of transaction volume using two different estimators of the conditional expectation based either on the Gaussian kernel density function or the Epanechnikov one. In addition, we value some strategies based on penalized returns. To compute the optimal portfolios, we implemented the Sharpe ratio, global minimum CVaR5%, and Rachev ratio optimization, and we found that taking into account volume has an impact on the ex-post wealth.