Related papers: Statistical Learning for Individualized Asset Allo…

Asset allocation is an investment strategy that aims to balance risk and reward by constantly redistributing the portfolio's assets according to certain goals, risk tolerance, and investment horizon. Unfortunately, there is no simple…

In this work, we study the task of distributed optimization over a network of learners in which each learner possesses a convex cost function, a set of affine equality constraints, and a set of convex inequality constraints. We propose a…

We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…

This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forecasts. Unlike traditional approaches that focus on broad…

We introduce the technique of adaptive discretization to design an efficient model-based episodic reinforcement learning algorithm in large (potentially continuous) state-action spaces. Our algorithm is based on optimistic one-step value…

This work proposes a unified framework for portfolio allocation, covering both asset selection and optimization, based on a multiple-hypothesis predict-then-optimize approach. The portfolio is modeled as a structured ensemble, where each…

It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional…

We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash…

In this paper we propose a heterogeneous modeling framework which achieves individual-wise feature selection and individualized covariates' effects subgrouping simultaneously. In contrast to conventional model selection approaches, the new…

There is increasing interest in allocating treatments based on observed individual characteristics: examples include targeted marketing, individualized credit offers, and heterogeneous pricing. Treatment personalization introduces…

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…

We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted $\ell_1$-Norm penalization, henceforth SLOPE. Our approach is able to…

This paper extends the tactical asset allocation literature by incorporating regime modeling using techniques from machine learning. We propose a novel model that classifies current regimes, forecasts the distribution of future regimes, and…

We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such…

We propose a new active learning algorithm for parametric linear regression with random design. We provide finite sample convergence guarantees for general distributions in the misspecified model. This is the first active learner for this…

Strategic classification studies learning in settings where self-interested users can strategically modify their features to obtain favorable predictive outcomes. A key working assumption, however, is that "favorable" always means…

Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…

We present an efficient algorithm for model-free episodic reinforcement learning on large (potentially continuous) state-action spaces. Our algorithm is based on a novel $Q$-learning policy with adaptive data-driven discretization. The…

We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained. The designed framework circumvents the traditional forecasting step and avoids the estimation of the covariance matrix,…

We study sparse linear regression over a network of agents, modeled as an undirected graph (with no centralized node). The estimation problem is formulated as the minimization of the sum of the local LASSO loss functions plus a quadratic…