Related papers: Doubly Robust Mean-CVaR Portfolio
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…
Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as…
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed…
Traditional approaches to portfolio optimization, often rooted in Modern Portfolio Theory and solved via quadratic programming or evolutionary algorithms, struggle with scalability or flexibility, especially in scenarios involving complex…
We propose a distributionally robust index tracking model with the conditional value-at-risk (CVaR) penalty. The model combines the idea of distributionally robust optimization for data uncertainty and the CVaR penalty to avoid large…
Optimizing Conditional Value-at-risk (CVaR) using policy gradient (a.k.a CVaR-PG) faces significant challenges of sample inefficiency. This inefficiency stems from the fact that it focuses on tail-end performance and overlooks many sampled…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic…
${\rm CoVaR}$ is one of the most important measures of financial systemic risks. It is defined as the risk of a financial portfolio conditional on another financial portfolio being at risk. In this paper we first develop a Monte-Carlo…
Active portfolio management tries to incorporate any source of meaningful information into the asset selection process. In this contribution we consider qualitative views specified as total orders of the expected asset returns and discuss…
Portfolio optimization has been a major topic of research in finance, as it has a significant impact on investment profit. In this paper, we investigate the problem of data uncertainty in convex multi-objective portfolio optimization. We…
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…
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…
Under losses which are potentially heavy-tailed, we consider the task of minimizing sums of the loss mean and standard deviation, without trying to accurately estimate the variance. By modifying a technique for variance-free robust mean…
In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica analysis. As a natural extension of the…
In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return. Within this general framework, we focus on maximizing a diversification…
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…
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 consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for…