Related papers: A dominance maximization approach to portfolio sel…
Product diversity is one of the prominent factors for customers' satisfaction, while from the firms' perspective, the additional engineering costs required for product diversity should not exceed the acquired profits from the increase in…
We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight. The decision rules are based on the history of stock returns…
We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted $\ell_1$-Norm penalization, henceforth SLOPE. Our approach is able to…
Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters. We introduce a perturbation sample…
Portfolio optimization is one of the essential fields of focus in finance. There has been an increasing demand for novel computational methods in this area to compute portfolios with better returns and lower risks in recent years. We…
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three…
In this paper, a branch and bound algorithm that incorporates the decision maker's preference information is proposed for multiobjective optimization. In the proposed algorithm, a new discarding test is designed to check whether a box…
The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…
In this paper we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria…
Mean-reverting behavior of individuals assets is widely known in financial markets. In fact, we can construct a portfolio that has mean-reverting behavior and use it in trading strategies to extract profits. In this paper, we show that we…
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three…
Offline multi-objective optimization aims to identify Pareto-optimal solutions given a dataset of designs and their objective values. In this work, we propose a preference-guided diffusion model that generates Pareto-optimal designs by…
One of the most common approaches for multiobjective optimization is to generate a solution set that well approximates the whole Pareto-optimal frontier to facilitate the later decision-making process. However, how to evaluate and compare…
The research area of evolutionary multiobjective optimization (EMO) is reaching better understandings of the properties and capabilities of EMO algorithms, and accumulating much evidence of their worth in practical scenarios. An urgent…
Portfolio construction is the science of balancing reward and risk; it is at the core of modern finance. In this paper, we tackle the question of optimal decision-making within a Bayesian paradigm, starting from a decision-theoretic…
In this work we formulate and formally characterize group fairness as a multi-objective optimization problem, where each sensitive group risk is a separate objective. We propose a fairness criterion where a classifier achieves minimax risk…