A cost-effective approach to portfolio construction with range-based risk measures

DOI10.1080/14697688.2020.1781237MaRDI QIDQ4991085zbMATH OpenOpenAlexFDO

Authors Chi Seng Pun, Lei Wang

Publication date 2 June 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1781237

zbMATH Keywords

\(\ell_2\)-regularized portfoliosportfolio optimizationrisk measuresrobustnessstatistical learning theorysupport vector regressiontransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cited in

(7)

• Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
• Loss control with rank-one covariance estimate for short-term portfolio optimization
• Portfolio optimization based on negative correlation ensemble learning
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
• Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
• Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
• A modified CTGAN-plus-features-based method for optimal asset allocation

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