Related papers: A Continuous Optimization Approach for the Financi…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
This paper introduces a new functional optimization approach to portfolio optimization problems by treating the unknown weight vector as a function of past values instead of treating them as fixed unknown coefficients in the majority of…
We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimization process. The modification takes account of the entropic…
Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities. This paper provides, for the first time, a complete characterization of optimal…
Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this…
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV…
We study the continuous-time pre-commitment mean-variance portfolio selection in a time-varying financial market. By introducing two indexes which respectively express the average profitability of the risky asset (AP) and the current…
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models. To…
In this work, we consider weighted signed network representations of financial markets derived from raw or denoised correlation matrices, and examine how negative edges can be exploited to reduce portfolio risk. We then propose a discrete…
We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest…
Finding the optimal product prices and product assortment are two fundamental problems in revenue management. Usually, a seller needs to jointly determine the prices and assortment while managing a network of resources with limited…
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by…
In this work, we demonstrate how to apply non-linear cardinality constraints, important for real-world asset management, to quantum portfolio optimization. This enables us to tackle non-convex portfolio optimization problems using quantum…
The success of Constraint Programming relies partly on the global constraints and implementation of the associated filtering algorithms. Recently, new ideas emerged to improve these implementations in practice, especially regarding the all…
In this paper, we study the generalized problem that minimizes or maximizes a multi-order complex quadratic form with constant-modulus constraints on all elements of its optimization variable. Such a mathematical problem is commonly…
Mean-reverting portfolios with volatility and sparsity constraints are of prime interest to practitioners in finance since they are both profitable and well-diversified, while also managing risk and minimizing transaction costs. Three main…
Portfolio optimization methods have evolved significantly since Markowitz introduced the mean-variance framework in 1952. While the theoretical appeal of this approach is undeniable, its practical implementation poses important challenges,…
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No…
Index tracking is a popular passive investment strategy aimed at optimizing portfolios, but fully replicating an index can lead to high transaction costs. To address this, partial replication have been proposed. However, the cardinality…