Direct data-driven portfolio optimization with guaranteed shortfall probability

DOI10.1016/J.AUTOMATICA.2012.11.012MaRDI QIDQ1940255zbMATH OpenOpenAlexFDO

Authors Giuseppe Calafiore

Publication date 6 March 2013

Published in Automatica (Search for Journal in Brave)

Full work available at URL http://porto.polito.it/2503507/

zbMATH Keywords

asset allocationdata-driven methodsportfolio optimizationrandom convex programsscenario designvalue-at-risk

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(10)

• Stochastic differential game in high frequency market
• Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
• Data-driven portfolio management with quantile constraints
• Data-driven distributionally robust risk parity portfolio optimization
• Stochastic optimization for allocation problems with shortfall risk constraints
• On asymptotic log-optimal portfolio optimization
• Equilibrium multi-agent model with heterogeneous views on fundamental risks
• Portfolio optimization with \(pw\)-robustness
• A sparse enhanced indexation model with chance and cardinality constraints
• ROBIST: robust optimization by iterative scenario sampling and statistical testing

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