Related papers: Location and portfolio selection problems: A unifi…
Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim to examine and improve modern strategiesto generate higher…
We propose a clustering-based iterative algorithm to solve certain optimization problems in machine learning, where we start the algorithm by aggregating the original data, solving the problem on aggregated data, and then in subsequent…
Classical clustering algorithms typically either lack an underlying probability framework to make them predictive or focus on parameter estimation rather than defining and minimizing a notion of error. Recent work addresses these issues by…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
In this paper, we consider a new problem of portfolio optimization using stochastic information. In a setting where there is some uncertainty, we ask how to best select $k$ potential solutions, with the goal of optimizing the value of the…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection…
The Maximum Common Subgraph is a computationally challenging problem with countless practical applications. Even if it has been long proven NP-hard, its importance still motivates searching for exact solutions. This work starts by…
We investigate the application of two heuristic methods, genetic algorithms and tabu/scatter search, to the optimisation of realistic portfolios. The model is based on the classical mean-variance approach, but enhanced with floor and…
Maintaining a balance between returns and volatility is a common strategy for portfolio diversification, whether investing in traditional equities or digital assets like cryptocurrencies. One approach for diversification is the application…
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 work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the asset returns follow a multivariate normal distribution. It…
We tackle the challenge of estimating grouping structures and factor loadings in asset pricing models, where traditional regressions struggle due to sparse data and high noise. Existing approaches, such as those using fused penalties and…
Motivated by fairness concerns, we study the `portfolio problem': given an optimization problem with set $D$ of feasible solutions, a class $\mathbf{C}$ of fairness objective functions on $D$, and an approximation factor $\alpha \ge 1$, a…
Many investment models in discrete or continuous-time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization problem is known as the quantile formulation of the original…
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal…
Conventionally, the resource allocation is formulated as an optimization problem and solved online with instantaneous scenario information. Since most resource allocation problems are not convex, the optimal solutions are very difficult to…
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…
In recent years, the evaluation of the minimal investment risk of the quenched disordered system of a portfolio optimization problem and the investment concentration of the optimal portfolio has been actively investigated using the analysis…
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset…