Related papers: Location and portfolio selection problems: A unifi…
Clustering is a fundamental problem, aiming to partition a set of elements, like agents or data points, into clusters such that elements in the same cluster are closer to each other than to those in other clusters. In this paper, we present…
In cluster analysis interest lies in probabilistically capturing partitions of individuals, items or observations into groups, such that those belonging to the same group share similar attributes or relational profiles. Bayesian posterior…
We investigate an application of network centrality measures to portfolio optimization, by generalizing the method in [Pozzi, Di Matteo and Aste, \emph{Spread of risks across financial markets: better to invest in the peripheries},…
View materialization, index selection, and plan caching are well-known techniques for optimization of query processing in database systems. The essence of these tasks is to select and save a subset of the most useful candidates…
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Many multiobjective real-world problems, such as facility location and bus routing, become more complex when optimizing the priorities of multiple stakeholders. These are often modeled using infinite classes of objectives, e.g., $L_p$ norms…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective…
Link prediction problem has increasingly become prominent in many domains such as social network analyses, bioinformatics experiments, transportation networks, criminal investigations and so forth. A variety of techniques has been developed…
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by…
Optimal portfolio selection problems are determined by the (unknown) parameters of the data generating process. If an investor wants to realise the position suggested by the optimal portfolios, he/she needs to estimate the unknown…
Portfolio diversification is one of the most effective ways to minimize investment risk. Individuals and fund managers aim to create a portfolio of assets that not only have high returns but are also uncorrelated. This goal can be achieved…
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…
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Using a multivariate normal Copula function for the joint default…
Solving portfolio management problems using deep reinforcement learning has been getting much attention in finance for a few years. We have proposed a new method using experts signals and historical price data to feed into our reinforcement…
We propose a new clustering approach, called optimality-based clustering, that clusters data points based on their latent decision-making preferences. We assume that each data point is a decision generated by a decision-maker who…
We study financial networks where banks are connected through bilateral liabilities and may default when resources are insufficient to meet obligations. We consider both the standard proportional clearing model and a priority-proportional…
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…
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…