Related papers: A Note on Portfolio Optimization with Quadratic Tr…

The Portfolio Optimization task has long been studied in the Financial Services literature as a procedure to identify the basket of assets that satisfy desired conditions on the expected return and the associated risk. A well-known approach…

We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market…

We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is…

This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In…

The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…

In this work we introduce an implementation for which machine learning techniques helped improve the overall performance of an evolutionary algorithm for an optimization problem, namely a variation of robust minimum-cost path in graphs. In…

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…

In this paper, we present an exact algorithm for optimizing two linear fractional over the efficient set of a multi-objective integer quadratic problem. This type of problems arises when two decision-makers, such as firms, each have a…

We extend the classical mean-variance (MV) framework and propose a robust and sparse portfolio selection model incorporating an ellipsoidal uncertainty set to reduce the impact of estimation errors and fixed transaction costs to penalize…

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…

In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. Since the minimal investment risk is influenced by the…

This paper proposes a novel approach to resilient distributed optimization with quadratic costs in a networked control system (e.g., wireless sensor network, power grid, robotic team) prone to external attacks (e.g., hacking, power outage)…

We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous…

In this short note, we will show how to optimize the portfolio of a large trader whose hedging strategy affects the price of his assets.

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…

This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at…

We present a quantum algorithm for combinatorial optimization using the cost structure of the search states. Its behavior is illustrated for overconstrained satisfiability and asymmetric traveling salesman problems. Simulations with…

We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…

Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…

Combinatorial optimization problems are ubiquitous in industry. In addition to finding a solution with minimum cost, problems of high relevance involve a number of constraints that the solution must satisfy. Variational quantum algorithms…