Related papers: Portfolio Optimization with Cumulative Prospect Th…

In this paper, we aim at solving the cardinality constrained high-order portfolio optimization, i.e., mean-variance-skewness-kurtosis model with cardinality constraint (MVSKC). Optimization for the MVSKC model is of great difficulty in two…

We consider the problem of optimizing a portfolio of financial assets, where the number of assets can be much larger than the number of observations. The optimal portfolio weights require estimating the inverse covariance matrix of excess…

In the portfolio multiobjective optimization framework, we propose to compare and choose, among all feasible asset portfolios of a given market, the one that maximizes the product of the distances between its values of risk and gain and…

We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV) preferences. We obtain the precommitted optimal strategies…

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…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…

This study examines portfolio selection using predictive models for portfolio returns. Portfolio selection is a fundamental task in finance, and a variety of methods have been developed to achieve this goal. For instance, the mean-variance…

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…

We present a distributed solution to optimizing a convex function composed of several non-convex functions. Each non-convex function is privately stored with an agent while the agents communicate with neighbors to form a network. We show…

The theory of convex risk functions has now been well established as the basis for identifying the families of risk functions that should be used in risk averse optimization problems. Despite its theoretical appeal, the implementation of a…

Flow-based models are powerful tools for designing probabilistic models with tractable density. This paper introduces Convex Potential Flows (CP-Flow), a natural and efficient parameterization of invertible models inspired by the optimal…

Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have…

Optimizing portfolio performance is a fundamental challenge in financial modeling, requiring the integration of advanced clustering techniques and data-driven optimization strategies. This paper introduces a comparative backtesting approach…

We propose a general method for optimization with semi-infinite constraints that involve a linear combination of functions, focusing on the case of the exponential function. Each function is lower and upper bounded on sub-intervals by…

We investigate the static portfolio selection problem of S-shaped and non-concave utility maximization under first-order and second-order stochastic dominance (SD) constraints. In many S-shaped utility optimization problems, one should…

The problem of minimizing convex functionals of probability distributions is solved under the assumption that the density of every distribution is bounded from above and below. A system of sufficient and necessary first-order optimality…

We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…

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…

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…