相关论文: Optimal portfolios for different anticipating inte…
In this paper, we study the stochastic convergence of regularized solutions for backward heat conduction problems. These problems are recognized as ill-posed due to the exponential decay of eigenvalues associated with the forward problems.…
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
In black-box optimization, a central question is which algorithm to use to solve a given, previously unseen, problem. Selecting a single algorithm, however, entails inherent risks: inaccuracies in the selector may lead to poor choices, and…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form. We provide necessary and…
Recently, several researchers proposed portfolio optimization as a potential use case for quantum optimization. However, the literature is lacking an extensive benchmark quantifying the potential of quantum computers for portfolio…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
The general problem of robust optimization is this: one of several possible scenarios will appear tomorrow, but things are more expensive tomorrow than they are today. What should you anticipatorily buy today, so that the worst-case cost…
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal assumptions, such as right-continuity of market coefficients…
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 consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation…
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case…
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy…
Unrestricted mean-variance-skewness-kurtosis portfolio optimization can capture asymmetry and tail risk, but sample-moment formulations become computationally impractical when the asset universe is large: they produce dense nonconvex…
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in which the asset allocation at each time point is determined by…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk Parity collapse into Mean Variance under…
Portfolio optimization in real-world financial markets is notoriously difficult due to non-stationarity, noisy data, and high transaction costs. Standard predict-then-optimize methods first forecast returns and then solve for weights,…
Optimal capital allocation between different assets is an important financial problem, which is generally framed as the portfolio optimization problem. General models include the single-period and multi-period cases. The traditional…