Related papers: Replica approach to mean-variance portfolio optimi…
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
We study an optimization-based approach to con- struct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Ornstein-Uhlenbeck process with parameters estimated by maximum…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
This paper is devoted to the problem of sampling Gaussian fields in high dimension. Solutions exist for two specific structures of inverse covariance : sparse and circulant. The proposed approach is valid in a more general case and…
We study the minimal sample size N=N(n) that suffices to estimate the covariance matrix of an n-dimensional distribution by the sample covariance matrix in the operator norm, with an arbitrary fixed accuracy. We establish the optimal bound…
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced to two subproblems: solving a stochastic linear-quadratic…
We consider the problem of estimating the uncertainty in statistical inverse problems using Bayesian inference. When the probability density of the noise and the prior are Gaussian, the solution of such a statistical inverse problem is also…
The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing…
In this paper, we consider an unconstrained optimization model where the objective is a sum of a large number of possibly nonconvex functions, though overall the objective is assumed to be smooth and convex. Our bid to solving such model…
We revisit the problem of estimating the mean of a real-valued distribution, presenting a novel estimator with sub-Gaussian convergence: intuitively, "our estimator, on any distribution, is as accurate as the sample mean is for the Gaussian…
We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal…
We consider the task of privately obtaining prediction error guarantees in ordinary least-squares regression problems with Gaussian covariates (with unknown covariance structure). We provide the first sample-optimal polynomial time…
We revisit Markowitz's mean-variance portfolio selection model by considering a distributionally robust version, where the region of distributional uncertainty is around the empirical measure and the discrepancy between probability measures…
We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…
Probability mass curves the data space with horizons. Let f be a multivariate probability density function with continuous second order partial derivatives. Consider the problem of estimating the true value of f(z) > 0 at a single point z,…
This paper studies the problem of estimating the covariance of a collection of vectors using only highly compressed measurements of each vector. An estimator based on back-projections of these compressive samples is proposed and analyzed. A…
This paper studies the mean-variance optimal portfolio choice of an investor pre-committed to a deterministic investment policy in continuous time in a market with mean-reversion in the risk-free rate and the equity risk-premium. In the…