Related papers: DCC: Differentiable Cardinality Constraints for Pa…
Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which contains some constituents of the index. The tracking error…
In the practical business environment, portfolio managers often face business-driven requirements that limit the number of constituents in their tracking portfolio. A natural index tracking model is thus to minimize a tracking error measure…
The cardinality-constrained mean-variance portfolio problem has garnered significant attention within contemporary finance due to its potential for achieving low risk while effectively managing risks and transaction costs. Instead of…
In this work, we demonstrate how to apply non-linear cardinality constraints, important for real-world asset management, to quantum portfolio optimization. This enables us to tackle non-convex portfolio optimization problems using quantum…
The success of Constraint Programming relies partly on the global constraints and implementation of the associated filtering algorithms. Recently, new ideas emerged to improve these implementations in practice, especially regarding the all…
Cardinality constraints in optimization are commonly of $L^0$-type, and they lead to sparsely supported optimizers. An efficient way of dealing with these constraints algorithmically, when the objective functional is convex, is…
An index tracker is a passive investment reproducing the return and risk of a market index, an enhanced index tracker offers a return greater than the index. We consider the selection of a portfolio of given cardinality to track an index,…
We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance problem. However in practice, a tracking…
Modern database optimizer relies on cardinality estimator, whose accuracy directly affects the optimizer's ability to choose an optimal execution plan. Recent work on data-driven methods has leveraged probabilistic models to achieve higher…
Dynamic conditional correlation (DCC) is a method that estimates the correlation between two time series across time. Although used primarily in finance so far, DCC has been proposed recently as a model-based estimation method for…
We present differentiable predictive control (DPC), a method for learning constrained neural control policies for linear systems with probabilistic performance guarantees. We employ automatic differentiation to obtain direct policy…
This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mixed-integer semidefinite optimization (MISDO) problem by…
Due to the outstanding capability of capturing underlying data distributions, deep learning techniques have been recently utilized for a series of traditional database problems. In this paper, we investigate the possibilities of utilizing…
Cardinality potentials are a generally useful class of high order potential that affect probabilities based on how many of D binary variables are active. Maximum a posteriori (MAP) inference for cardinality potential models is…
This paper presents a novel robust predictive controller for constrained nonlinear systems that is able to track piece-wise constant setpoint signals. The tracking model predictive controller presented in this paper extends the nonlinear…
We propose a novel approach to solving input- and state-constrained parametric mixed-integer optimal control problems using Differentiable Predictive Control (DPC). Our approach follows the differentiable programming paradigm by learning an…
In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The…
We study differentially-private statistics in the fully dynamic continual observation model, where many updates can arrive at each time step and updates to a stream can involve both insertions and deletions of an item. Earlier work (e.g.,…
Cardinality estimation is a fundamental task in database management systems, aiming to predict query results accurately without executing the queries. However, existing techniques either achieve low estimation accuracy or incur high…
A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund managers, who are constrained by transaction costs and client…