Direct data-driven portfolio optimization with guaranteed shortfall probability

DOI10.1016/J.AUTOMATICA.2012.11.012zbMATH Open1259.93130OpenAlexW2055688117MaRDI QIDQ1940255FDOQ1940255

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/

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zbMATH Keywords

asset allocationportfolio optimizationvalue-at-riskdata-driven methodsrandom convex programsscenario design

Mathematics Subject Classification ID

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

Cited In (9)

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

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