Related papers: Random matrix approach for primal-dual portfolio o…

This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…

In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the…

We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of…

By exploiting double-penalty terms for the primal subproblem, we develop a novel relaxed augmented Lagrangian method for solving a family of convex optimization problems subject to equality or inequality constraints. The method is then…

Regularized empirical risk minimization problem with linear predictor appears frequently in machine learning. In this paper, we propose a new stochastic primal-dual method to solve this class of problems. Different from existing methods,…

Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to build the most profitable portfolio. The portfolio…

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No…

Meaningful comparison between sets of observations often necessitates alignment or registration between them, and the resulting optimization problems range in complexity from those admitting simple closed-form solutions to those requiring…

This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…

We propose a new randomized algorithm for solving convex optimization problems that have a large number of constraints (with high probability). Existing methods like interior-point or Newton-type algorithms are hard to apply to such…

We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…

This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…

In the present paper, using a replica analysis, we examine the portfolio optimization problem handled in previous work and discuss the minimization of investment risk under constraints of budget and expected return for the case that the…

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…

This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent discovery and success of rough volatility…

In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…

In this paper, we search for optimal portfolio strategies in the presence of various risk measure that are common in financial applications. Particularly, we deal with the static optimization problem with respect to Value at Risk, Expected…

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma…

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…

In this paper, we consider the generalized low rank approximation of the correlation matrices problem which arises in the asset portfolio. We first characterize the feasible set by using the Gramian representation together with a special…