Related papers: On portfolios generated by optimal transport
Transportation cost is an attractive similarity measure between probability distributions due to its many useful theoretical properties. However, solving optimal transport exactly can be prohibitively expensive. Therefore, there has been…
Motivated by the success of Sinkhorn's algorithm for entropic optimal transport, we study convergence properties of iterative proportional fitting procedures (IPFP) used to solve more general information projection problems. We establish…
The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined from a general class of processes denoted by $\GX$. Making…
Optimal Transport has recently gained interest in machine learning for applications ranging from domain adaptation, sentence similarities to deep learning. Yet, its ability to capture frequently occurring structure beyond the "ground…
Deterministic equilibrium flows in transport networks can be investigated by means of Markov's processes defined on the dual graph representations of the network. Sustained movement patterns are generated by a subset of automorphisms of the…
We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not. We establish and exploit an…
This paper investigates dynamic and static fund separations and their stability for long-term optimal investments under three model classes. An investor maximizes the expected utility with constant relative risk aversion under an incomplete…
In this article we show how ideas, methods and results from optimal transportation can be used to study various aspects of the stationary measuresof Iterated Function Systems equipped with a probability distribution. We recover a classical…
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk are captured by second moments. In modern financial markets,…
Optimal transport on a graph focuses on finding the most efficient way to transfer resources from one distribution to another while considering the graph's structure. This paper introduces a new distributed algorithm that solves the optimal…
Motivated by microscopic traffic modeling, we analyze dynamical systems which have a piecewise linear concave dynamics not necessarily monotonic. We introduce a deterministic Petri net extension where edges may have negative weights. The…
We propose GOTEX, a general framework for texture synthesis by optimization that constrains the statistical distribution of local features. While our model encompasses several existing texture models, we focus on the case where the…
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such…
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of…
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…
Weak optimal transport generalizes the classical theory of optimal transportation to nonlinear cost functions and covers a range of problems that lie beyond the traditional theory - including entropic transport, martingale transport, and…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending…
This paper focuses on computing the convex conjugate (also known as the Legendre-Fenchel conjugate or c-transform) that appears in Euclidean Wasserstein-2 optimal transport. This conjugation is considered difficult to compute and in…