相关论文: Identifying Small Mean Reverting Portfolios

Penalized regression methods aim to retrieve reliable predictors among a large set of putative ones from a limited amount of measurements. In particular, penalized regression with singular penalty functions is important for sparse…

We consider the problem of multivariate regression in a setting where the relevant predictors could be shared among different responses. We propose an algorithm which decomposes the coefficient matrix into the product of a long matrix and a…

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…

The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].

Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…

We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with the application of the replica method borrowed from the…

Sparse feature selection is necessary when we fit statistical models, we have access to a large group of features, don't know which are relevant, but assume that most are not. Alternatively, when the number of features is larger than the…

Canonical correlation analysis is a classical technique for exploring the relationship between two sets of variables. It has important applications in analyzing high dimensional datasets originated from genomics, imaging and other fields.…

We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds.…

We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal…

The problem of estimating sparse eigenvectors of a symmetric matrix attracts a lot of attention in many applications, especially those with high dimensional data set. While classical eigenvectors can be obtained as the solution of a…

We consider the problem of sparse canonical correlation analysis (CCA), i.e., the search for two linear combinations, one for each multivariate, that yield maximum correlation using a specified number of variables. We propose an efficient…

Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…

An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…

In this paper I present a new approach for regression of time series using their own samples. This is a celebrated problem known as Auto-Regression. Dealing with outlier or missed samples in a time series makes the problem of estimation…

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 analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…

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…

In this review, we provide practical guidance on some of the main machine learning tools used in portfolio weight formation. This is not an exhaustive list, but a fraction of the ones used and have some statistical analysis behind it. All…