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

Mathematics Subject Classification ID

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

Recommendations

• Data-driven distributionally robust risk parity portfolio optimization
• Dynamic Portfolio Optimization with Bounded Shortfall Risks
• Shortfall as a risk measure: properties, optimization and applications
• Data-driven portfolio management with quantile constraints
• Dynamic mean-variance portfolio analysis under model risk

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
• Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
• Stochastic optimization for allocation problems with shortfall risk constraints
• Portfolio optimization with \(pw\)-robustness
• Equilibrium multi-agent model with heterogeneous views on fundamental risks

This page was built for publication: Direct data-driven portfolio optimization with guaranteed shortfall probability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1940255)