Related papers: On the solution uniqueness in portfolio optimizati…
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected…
We identify and analyze a fundamental limitation of the classical projected subgradient method in nonsmooth convex optimization: the inevitable failure caused by the absence of valid subgradients at boundary points. We show that, under…
Through the lens of information-theoretic reductions, we examine a reductions approach to fair optimization and learning where a black-box optimizer is used to learn a fair model for classification or regression. Quantifying the complexity,…
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically estimated. We show that for risk-averse problems, standard…
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…
Matrix Factorization is a popular non-convex optimization problem, for which alternating minimization schemes are mostly used. They usually suffer from the major drawback that the solution is biased towards one of the optimization…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal assumptions, such as right-continuity of market coefficients…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
Given a reference risk measure, the risk budgeting is the portfolio where each asset contributes a predetermined amount to the total risk. We propose a novel approach, alternative to the ones proposed in the literature, for the calculation…
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…
Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the "error maximization"…
Index tracking is a popular form of asset management. Typically, a quadratic function is used to define the tracking error of a portfolio and the look back approach is applied to solve the index tracking problem. We argue that a forward…
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…
The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric $\ell_1$ regularizer, setting some of the portfolio weights to zero…
We provide some counterexamples concerning the uniqueness and regularity of weak solutions to the initial-boundary value problem for gradient flows of certain strongly polyconvex functionals by showing that such a problem can possess a…
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…
Stock portfolio optimization is the process of continuous reallocation of funds to a selection of stocks. This is a particularly well-suited problem for reinforcement learning, as daily rewards are compounding and objective functions may…